The Stock Market’s Reaction to Accounting Information: The Cases of Chile and Peru
Journal of Accounting in Emerging Economies
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.
We 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. We 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.
Version of record can be found through Emerald.
Melgarejo, Mauricio A.; Montiel, Eduardo; and Sanz, Luis, "The Stock Market’s Reaction to Accounting Information: The Cases of Chile and Peru" (2016). Scholarship and Professional Work - Business. 275.