Index funds would like to reduce their purchase price by rebalancing before the effective date, such as the night session following the announcement date
. Participating too early in the game (such as during the night session on the announcement date
), however, could result in a larger tracking error, which is especially a concern if the strategy results in a larger downside error relative to the index and when there is a long time delay between the announcement and effective dates.
If the share price increases on the announcement date
, then the benefits attributable to the employee stock options outweigh the costs on a present discounted value basis.
We include earnings announcements in this sample if (1) the firm is listed on the NYSE; (2) the earnings announcement date
is available from Compustat; (3) return data are available for at least 80 of the 100 days in the day -105 to -6 period relative to the announcement date
; (4) transactions and volume data are available for at least 80 of the 100 days from the time periods spanning day -55 to -6 and day +6 to +55 relative to the announcement date
The effective date of the proposed changes is the announcement date
. TEI believes that some transition rule relief is necessary and appropriate because in nearly all cases, neither the principal nor the agent obtained notice of the proposed changes in time to make the systemic changes needed to comply.
Expected returns are generated from the market model parameters, estimated with daily returns from the period [t.sub.-220] to [t.sub.-20] relative to the announcement date
. Abnormal returns are generated for the announcing banks and for rival banks pooled into an equally-weighted portfolio.
The mean responses for changing an announcement date
because of unexpected lower/higher earnings are 2.69 and 2.31, respectively.
Given the realistic possibility of any of these three outcomes, any abnormal performance should occur on (or possibly, before) the announcement date
if the markets are semi-strong efficient.
Sample Three consists of the 33 firms in Sample Two for which the PBGC notification date follows the DJNS/WSJ announcement date
. The event date used is the DJNS/WSJ announcement date
, which is regarded as a more accurate indicator of the initial public announcement that the PBGC notification date.
The spotlight on her has only grown since, and the long lead-up to her announcement date
only ratchets up the anticipation and speculation about her plans.
They compare firms' current earnings announcement date
to an expected date based on the prior quarters.
We identified an initial sample of firms included in the COMPUSTAT Quarterly File and the CRSP Dally Returns File where the Invest/Net database indicated at least one open market purchase or sale of common stock by an officer, director, or beneficial owner of more than ten percent of the firm's stock between January 1, 1984 and December 31, 1989.(4) For these firms and time period, we retained all quarterly earnings announcements where both COMPUSTAT provided an announcement date
and the firm bad at least one insider trade during the period 51 days before to 50 days after the announcement date