Earnings Announcements and Systematic Risk

• 成果类型: Article
• 署名作者: Savor, Pavel; Wilson, Mungo
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Oxford; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12361
• 发表日期: 2016
• 页码: 83-138
• 关键词: INTRAINDUSTRY INFORMATION TRANSFERS; ASSET PRICING TESTS; stock returns; SECURITY RETURNS; ACCOUNTING EARNINGS; behavioral finance; MARKET-EFFICIENCY; cross-section; prices; DECOMPOSITION

摘要

Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk-based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm-specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement premium is persistent across stocks, and early (late) announcers earn higher (lower) returns. Nonannouncers' response to announcements is consistent with our model, both over time and across firms. Finally, exposure to announcement risk is priced.