Capital Market Reactions to Accounting Earnings Announcements in an International Context

This study examines the association of four factors with U.S. securities market reactions to annual earnings announcements by non-U.S. multinational corporations and by a control sample of U.S. firms. The four factors examined are firm size, the magnitude of earnings change, timeliness, and the presence or absence of a concurrent dividend announcement. The non-U.S. corporations are from five countries - Israel, Japan, Netherlands, Philippines, and United Kingdom. Results for the group of non-U.S. firms indicate that firm size and timeliness are significant explanatory variables. For the control sample of U.S. firms, only size is significant.