8 similar to the regression in note 7 we now

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heteroskedasticity corrected standard errors for testing purposes. 8 Similar to the regression in note 7, we now regressed the ARs on a constant and a dummy for early and one for late news. 9 The results are available on request from the authors. 10 The apparent negative outlier in Figure 3 is related to the bad news released by Spector Photo Group on 29 September, 1997, as their current earnings fell from 104 million gain in 1996 to a 186 million loss during the first half year of 1997. Investors penalised Spector by a dramatic ± 17% return on the day of the announcement. REFERENCES Baginski, S., J. Hassel and G. Waymire (1994), ‘Some Evidence on the New Content of Preliminary Earnings Estimates’, The Accounting Review , Vol. 69, No. 1, pp. 265–71. Basu, S. (1997), ‘The Conservatism Principle and the Asymmetric Timeliness of Earnings’, Journal of Accounting and Economics , Vol. 24, pp. 3–37. Bates, R.J. (1968), ‘Discussion of the Information Content of Annual Earnings Announcements’, Journal of Accounting Research , Vol. 6 (Supplement), pp. 93–95. Beaver, W.H. (1968), ‘The Information Content of Annual Earnings Announcements’ , Journal of Accounting Research , Vol. 6 (Supplement), pp. 67–92. Brown, S.J. and J.B. Warner (1985), ‘Using Daily Stock Returns: The Case of Event Studies’, Journal of Financial Economics , Vol. 14, No. 1, pp. 3–31. Chambers, A.E. and S.H. Penman (1984), ‘Timeliness of Reporting and the Stock Price Reaction to Earnings Announcements’, Journal of Accounting Research , Vol. 22, No. 1, pp. 21–46. Collins, D.W., S.P. Kothari, J. Shanken and R.G. Sloan (1994), ‘Lack of Timeliness and Noise as Explanations for the Contemporaneous Return- earnings Association’ , Journal of Accounting and Economics , Vol. 21, pp. 289– 324. De Ceuster, M. and D. Trappers (1993), Determinants of the Timeliness of Belgian Financial Statements , Working Paper (University of Antwerp). Dimson, E. (1979), ‘Risk Measurement when Shares are Subject to Infrequent Trading’ , Journal of Financial Economics , Vol. 7, No. 2, pp. 197–226. Foster, G., C. Olsen and T. Shevlin (1984), ‘Earnings Releases, Anomalies, and the Behavior of Security Returns’, The Accounting Review , Vol. 59, No. 4, pp. 574–603. 494 ANNAERT, DE CEUSTER, POLFLIET AND VAN CAMPENHOUT ß Blackwell Publishers Ltd 2002
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Generale Bank Corporate and Investment Banking (1999 ), De Belgische Financie¨le Markten in 1997 . Givoly, D. and D. Palmon, (1982), ‘Timeliness of Annual Earnings Announcements: Some Empirical Evidence’, The Accounting Review , Vol. 57, No. 3, pp. 486–508. Hendriksen, E. (1977), Accounting Theory (3rd ed., Irwin), p. 638. Kenley, W.J. and G.J. Staubus (1972), ‘Objectives and Concepts of Financial Statements’, Accounting Research Study , No 3 (Melbourne, Accountancy Research Foundation). Kross, W. and D.A. Schroeder (1984), ‘An Empirical Investigation of the Effect of Quarterly Earnings Announcement Timing on Stock Returns’, Journal of Accounting Research , Vol. 22, No. 1, pp. 153-76. Lawrence, J. and H. Glover (1998), ‘The Effect of Audit Firm Mergers on Audit Delay’, Journal of Managerial Issues , Vol. 10, No. 2, pp. 151–64.
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