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ABSTRACT In recent years, the proportion of after‐hours earnings announcements has increased to more than 40%. For after‐hours announcements, earnings‐related volume and price changes are not observed on the Compustat or I/B/E/S earnings announcement date, but one trading day later. This study demonstrates the importance of accounting for after‐hours announcements for event studies around earnings announcements.
Journal of Accounting Research – Wiley
Published: Mar 1, 2009
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