Time Will Tell: Information in the Timing of Scheduled Earnings News
Author(s)Johnson, Travis L.; So, Eric
MetadataShow full item record
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.
Journal of Financial and Quantitative Analysis
Cambridge University Press (CUP)
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
Author's final manuscript