- An academic study published by Stanford professors concludes that stock price volatility after earnings reports are published has increased sharply since 2001.
- The rise in earnings day price swings has occurred even as the number of ways companies disseminate information has exploded and independent analysis arrived on the scene.
- Large well-covered stocks show above-average price volatility to earnings announcements.
- The Stanford team relied on data from 700K quarterly reports to find a significant break upward in volatility occurred after 2001. This led to some conjecture that the new regulations under Sarbanes-Oxley added to the perceived reliability of earnings releases in the post-Enron world.
- The Information Content of Earnings Announcements: New Insights from Intertemporal and Cross-Sectional Behavior (Stanford Business School)
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