Purpose - The purpose of this paper is to assess the information value of earnings announcements for the 2007-2017 period in Borsa Istanbul. Design/methodology/approach - Abnormal volatility (AVOL) and abnormal absolute return (AAR) in the three-day window around the earnings announcement are...

We test whether the well-documented post-earnings-announcement drift is a manifestation of an investor underreaction or overreaction to extremely good or bad earnings news. Using the market reaction to extreme earnings surprises (i.e., SUE) in quarter Qt as a reference point, we show that firms...