Uncertainty Risk Resolution Before Earnings Announcements

• 成果类型: Article; Early Access
• 署名作者: Gao, Chao; Hu, Grace Xing; Zhang, Xiaoyan
• 署名单位: Australian National University; Tsinghua University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.03240
• 发表日期: 2025
• 关键词: pre-announcement returns; earnings announcements; uncertainty risk resolution

摘要

Data show that 72% of the earnings announcement premium is realized before, rather than after, earnings releases. We propose that uncertainty risk resolution before the announcement leads to large pre-announcement returns and test the uncertainty risk resolution hypothesis in the cross section. Compelling empirical evidence supports this hypothesis: an interquartile increase in the firm's uncertainty level is associated with a 6.3% greater uncertainty reduction and 0.65% higher market-adjusted returns in the 10-day period before earnings announcements. We also provide evidence that there are two distinct channels for uncertainty risk resolution: information acquisition by investors and information supply by analysts and firm management.