Intraday Risk Adjusted Abnormal Returns around the Announcement Date After Accounting for the Bid-Ask Spread
Table 2 provides risk adjusted intraday abnormal returns around the announcement date taking into account transaction costs, i.
the close of the day session on announcement date to the close of the day session on the day after the announcement,
ACD0:EOD+1]: the close of the day session on the announcement date to the open of the day session on the day following the effective date.
The change in the share price on the announcement date
incorporates all effects on shareholder wealth resulting from an increase in the number of shares outstanding upon option exercise.
Events that Change Earnings Announcement Date and Time 7-point scale: 1 = not important/disagree, 7 = important/agree Panel A.
Although figures presented for questions B and D are larger than those for questions A and C, the percentage of participants who change the announcement time during the day is considerably lower than the percentage of participants who change the announcement date as a result of unexpected earnings (shown in Panel A).
Results of an examination of the relationship between firm size and the likelihood of changing announcement date and time appear in Table 2, Panel A.
b) Approximately one-third of the firms that vary their announcement schedules believe that experiencing lower-than-expected earnings by itself warrants a change in the announcement date.
In the 80-trading-day interval surrounding the announcement date (announcement date [+ or -] 40 days), the abnormal returns for portfolios of acquiring and acquired firms are attributed to announcement of proposed acquisitions.
Exhibits 3 and 4, respectively, illustrate the abnormal returns and cumulative abnormal; returns [+ or -] 3 days surrounding the announcement date.
The plot of acquired firm CARs for the 80-day period around the announcement date is shown in Exhibit 5.