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Stock Return Seasonalities and Earnings Information

Published online by Cambridge University Press:  06 April 2009

David R. Peterson
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Abstract

Previous literature documents significant seasonalities in stock market returns. One explanation is seasonality in earnings information. If true, a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings. Employing all New York and American Stock Exchange firms over six years, this study examines the seasonality of stock returns. Generally, seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns. Thus, it is doubtful that earnings news seasonality induces stock return seasonality.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 25 , Issue 2 , June 1990 , pp. 187 - 201
Copyright
Copyright © School of Business Administration, University of Washington 1990

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