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Statistikk › Enkeltaksjer › Announcement premium

US stocks earn 61 basis points more in the month they are expected to report

Low volume concentration: 39+39Low volumeconcentrationAll stocks: 61+61Alle aksjerHigh volume concentration: 153+153High volumeconcentration

Monthly return in basis points to a long-short portfolio of stocks expected to announce this month against those not expected to, 1972 to 2004. The low concentration group is not statistically significant. The high concentration group has a t statistic of about 6.

A company's expected earnings month is knowable from last year's calendar alone. Over 1972 to 2004, holding stocks in that month and shorting the rest earned 61 basis points a month, about 7% a year, with no earnings numbers needed at all.

61 bpMonthly return to the expected-announcer long-short portfolio, t = 5.30
80%Accuracy of predicting the announcement month from last year's calendar
153 bpMonthly return in the high volume-concentration group, against 39 bp in the low
16 of 20Countries where the premium was positive in a separate global study

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