The Distribution of Earnings News over Time and Seasonalities in Aggregate Stock Returns
Over the past 55 years returns on stock market indexes have on average been higher during the first half-month of calendar quarters 2 through 4 than at other times. Coincidentally, aggregate corporate earnings news arriving at the market during these half-month periods tends to be good, whereas earnings reports arriving later are more likely to convey bad news. In addition firms tend to publish bad-news earnings reports on Mondays, coincident with negative Monday effects in stock returns. The coincidence of earnings news arrival and market seasonalities leads to conjectures about informational reasons for observed seasonalities.
Source: Journal of Financial Economics
Penman, Stephen. "The Distribution of Earnings News over Time and Seasonalities in Aggregate Stock Returns." Journal of Financial Economics 18, no. 2 (June 1987): 199-228.