Quarterly earnings announcements and intra-industry information transfer from the Pacific to the Atlantic

Abstract

In this study, we explore intra-industry information transfer of quarterly earnings announcements for six major developed markets including the United States. Using an event study methodology, we find that the average cumulative abnormal returns (CARs) of peer firms exhibit a positive and significant relationship with the CARs of announcing firms in the same country and industry over the three-day window surrounding quarterly earnings announcements. During periods of high past market volatility, earnings announcements demonstrate magnified information spillover effects on peer firms. Also, our results suggest that announcing firms with larger market capitalization generate greater intra-industry information transfer.