taken, and for this first-announcer the combined two-day abnormal return for the period (-1,0) should be computed. Here 0 is the announcement date of the earnings release of the first-announcer and -1 is the day before the earnings announcement. In this example, Fiat is the first-announcer and the days in the window are January 27 and January 30 (January 28 – 29 is a weekend, and are not considered as trading days). For the (-1,0) window the ratio for the first-announcer (Fiat) should be calculated as follows: This formula is the same as the (AVAR) formula designed by Beaver (1968), which means that the values calculated in this formula give an indication about the abnormal stock price volatility. What is actually done in this formula is that the abnormal return of firm i on day t is compared with the ‘normal’ abnormal return during the year. This should give an indication if the abnormal return surrounding the earnings announcement of the first-announcer is bigger than normal, which implies a reaction to the earnings release. After calculating this ratio, this ratio should be classified in one of six mutually exclusive categories. The categories are named A till F and based on the value the earnings announcement of Fiat is placed in a certain category. The categories are divided as follows: A: > 6, B: > 4 but 6, C: > 3 but 4, D: > 2 but 3, E: > 1 but 2, F: 1. If we assume here that the value in the (-1,0) window = 2,5, then the earnings announcement of Fiat for January 2006 is placed in category D for the ‘announcing’ group of firms. After doing this, I will also compute the values for Fiat in the trading day periods surrounding the earnings announcement period. The two-day trading day windows surrounding the January 27-30 period for which an ratio will be
taken, and for this first-announcer the combined two-day abnormal return for the period (-1,0) should be computed. Here 0 is the announcement date of the earnings release of the first-announcer and -1 is the day before the earnings announcement. In this example, Fiat is the first-announcer and the days in the window are January 27 and January 30 (January 28 – 29 is a weekend, and are not considered as trading days). For the (-1,0) window the ratio for the first-announcer (Fiat) should be calculated as follows: This formula is the same as the (AVAR) formula designed by Beaver (1968), which means that the values calculated in this formula give an indication about the abnormal stock price volatility. What is actually done in this formula is that the abnormal return of firm i on day t is compared with the ‘normal’ abnormal return during the year. This should give an indication if the abnormal return surrounding the earnings announcement of the first-announcer is bigger than normal, which implies a reaction to the earnings release. After calculating this ratio, this ratio should be classified in one of six mutually exclusive categories. The categories are named A till F and based on the value the earnings announcement of Fiat is placed in a certain category. The categories are divided as follows: A: > 6, B: > 4 but 6, C: > 3 but 4, D: > 2 but 3, E: > 1 but 2, F: 1. If we assume here that the value in the (-1,0) window = 2,5, then the earnings announcement of Fiat for January 2006 is placed in category D for the ‘announcing’ group of firms. After doing this, I will also compute the values for Fiat in the trading day periods surrounding the earnings announcement period. The two-day trading day windows surrounding the January 27-30 period for which an ratio will be