Time Will Tell: Information in the Timing of Scheduled Earnings News
Name
IEA_20170630.pdf
Description
Accepted version
Size
927.5 KB
Format
Adobe PDF
Checksum (MD5)
a587093c1b4dd3f55221f2f98d9a6490
Author(s)
Johnson, Travis L.
So, Eric
Date Issued
October 2018
Journal
Journal of Financial and Quantitative Analysis
Publisher
Cambridge University Press (CUP)
Citation
Johnson, Travis L. and Eric C. So. "Time Will Tell: Information in the Timing of Scheduled Earnings News." Journal of Financial and Quantitative Analysis 53, 6 (December 2018): 2431-2464 © 2018 Michael G. Foster School of Business, University of Washington
Version
Author's final manuscript
Abstract
Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show that equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to volatility-timing information embedded in the same scheduling disclosures, we provide novel evidence that markets fail to react to information about future earnings despite investors immediately trading on the underlying signal.
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1017/s0022109018000492
