... and Perry, 2002 ; Schwert, 2003) or disappeared altogether (Gu, 2003). They offer Fama’s (1970) semi-strong form of market efficiency as a possible explanation. Other studies using individual firm data and capturing the joint effect of firm size described by Keim (1983) find that the anomaly persists...

.... The main contribution of the original paper relates to the reliability of earnings numbers. Value relevance of earnings has received a lot of attention from researchers, but not so much has been focussed on reliability. Information in accruals affects market efficiency. Specifically, investors do not fully...

... in the same industry. Karel Hrazdil can be contacted at: karel_hrazdil@sfu.ca © Emerald Group Publishing Limited 2014 GICS Industry classification Information transfers Market efficiency Earnings information transfers occur when one firm announces earnings and the announcement...