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The stock market’s reaction to accounting information: the cases of Chile and Peru

Mauricio Melgarejo (Lacy School of Business, Butler University, Indianapolis, Indiana, USA)
Eduardo Montiel (INCAE Business School, Managua, Nicaragua)
Luis Sanz (INCAE Business School, Alajuela, costa Rica)

Journal of Accounting in Emerging Economies

ISSN: 2042-1168

Article publication date: 8 August 2016




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.


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.


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.


This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.



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.


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.



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