The stock market’s reaction to accounting information: the cases of Chile and Peru
Abstract
Purpose
The purpose of this paper is to analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru.
Design/methodology/approach
This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates.
Findings
The authors find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. The authors also find that these two effects are driven by small firms.
Originality/value
This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.
Keywords
Acknowledgements
The authors would like to thank the two anonymous reviewers and the participants at the CLADEA and BALAS annual meetings for their helpful comments and suggestions. All errors are of authors.
Citation
Melgarejo, M., Montiel, E. and Sanz, L. (2016), "The stock market’s reaction to accounting information: the cases of Chile and Peru", Journal of Accounting in Emerging Economies, Vol. 6 No. 3, pp. 254-268. https://doi.org/10.1108/JAEE-11-2013-0054
Publisher
:Emerald Group Publishing Limited
Copyright © 2016, Emerald Group Publishing Limited