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Stock Return Seasonalities and Earnings Information

David R. Peterson
The Journal of Financial and Quantitative Analysis
Vol. 25, No. 2 (Jun., 1990), pp. 187-201
DOI: 10.2307/2330823
Stable URL: http://www.jstor.org/stable/2330823
Page Count: 15
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Stock Return Seasonalities and Earnings Information
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Abstract

Previous literature documents significant seasonalities in stock market returns. One explanation is seasonality in earnings information. If true, a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings. Employing all New York and American Stock Exchange firms over six years, this study examines the seasonality of stock returns. Generally, seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns. Thus, it is doubtful that earnings news seasonality induces stock return seasonality.

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