Calendar rotations: A new approach for studying the impact of timing using earnings announcements

• 成果类型: Article
• 署名作者: Noh, Suzie; So, Eric C.; Verdi, Rodrigo S.
• 署名单位: Stanford University; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.01.009
• 发表日期: 2021
• 页码: 865-893
• 关键词: EARNINGS ANNOUNCEMENTS; Exogenous shock; Mispricing; attention; Earnings announcement premium

摘要

We develop a novel methodology for studying the causal impact of announcement tim-ing. Our methodology uses firms' earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in announcement timing as calendar rotations, which are uncorrelated with proxies for announcement content. In applying our methodology, we show announcements moved forward by calendar rotations receive heightened media and investor attention, and experience greater earnings announcement premia. Taken together, our study details a method for studying how the timing of information flows impacts out -comes of interest to financial economists. (c) 2021 Elsevier B.V. All rights reserved.