Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors
Villanueva, O. Miguel
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Citation (published version)O Miguel Villanueva, Steven Feinstein. "Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors." Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-020-00943-4
The stock characteristics often used in securities litigation to assess market efficiency are dispositive indicators of reactivity to earnings announcements. Stocks with large capitalization, high trading volume, broad analyst coverage, a large number of market makers, and narrow bid-ask spread are far more likely to react significantly to earnings announcements than stocks without these characteristics. Univariate and multivariate tests compel this conclusion, but provide weaker evidence for analyst coverage.