Anomalous stock returns around internet firms’ earnings announcements

摘要: Abstract This paper presents evidence of anomalies in internet firms’ stock returns surrounding their quarterly earnings announcements. There is a general runup prices the days prior to announcements, followed by price reversal lasting for several days. The magnitude market-adjusted associated with these movements exceeds 11 percent over 10-day period. We find little suggest that can be explained either news disclosed or risk changes. Additional analyses return patterns are driven, at least part, pressure.