Impact of Earnings Announcements for Dow Jones Index Stocks

Abstract

A regression model for analysis of impact of earnings announcements on stock prices has been formulated. An equal-weight portfolio of 29 stocks that constituted DJI in Oct 2019 is considered within the range Jan 1999 – Sep 2019. It is found that out-performance around the earnings announcements is the highest when the portfolio is liquidated on the next day after announcements. Short holding periods have the highest average returns. In this case, however, the differences between returns around and outside earnings become statistically insignificant when the top 10% performers are dropped from the portfolio. Earnings surprises for individual DJI constituents are analyzed.