The Stock Market’s Reaction to Accounting Information: The Cases of Chile and Peru

Mauricio A. Melgarejo; Eduardo Montiel; Luis Sanz

doi:10.1108/JAEE-11-2013-0054

The Stock Market’s Reaction to Accounting Information: The Cases of Chile and Peru

Mauricio A. Melgarejo, Eduardo Montiel, Luis Sanz

Research output: Contribution to journal › Article › peer-review

Abstract

<p> <dl> <dd> <h5> Purpose </h5> </dd> </dl></p><p> To analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru <h5> Design/methodology/approach </h5></p><p> This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. <h5> Findings </h5></p><p> We find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. We also find that these two effects are driven by small firms. <h5> Originality/value </h5></p><p> This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.</p>

Original language	American English
Journal	Scholarship and Professional Work - Business
DOIs	https://doi.org/10.1108/JAEE-11-2013-0054
State	Published - Jan 1 2016

Keywords

Accounting Information
Small Firms
Stock Markets

Disciplines

Accounting
Business
Business Intelligence
International Business

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http://www.emeraldinsight.com/doi/pdfplus/10.1108/JAEE-11-2013-0054

Cite this

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title = "The Stock Market{\textquoteright}s Reaction to Accounting Information: The Cases of Chile and Peru",

abstract = " Purpose To analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru Design/methodology/approach This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings We find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. We also find that these two effects are driven by small firms. Originality/value This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.",

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AU - Montiel, Eduardo

AU - Sanz, Luis

PY - 2016/1/1

Y1 - 2016/1/1

N2 - Purpose To analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru Design/methodology/approach This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings We find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. We also find that these two effects are driven by small firms. Originality/value This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.

AB - Purpose To analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru Design/methodology/approach This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings We find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. We also find that these two effects are driven by small firms. Originality/value This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.

KW - Accounting Information

KW - Small Firms

KW - Stock Markets

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ER -

The Stock Market’s Reaction to Accounting Information: The Cases of Chile and Peru

Abstract

Keywords

Disciplines

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