Increased market response to earnings announcements in the 21st century: An Empirical Investigation

• 成果类型: Article
• 署名作者: Beaver, William H.; McNichols, Maureen F.; Wang, Zach Z.
• 署名单位: Stanford University; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2019.101244
• 发表日期: 2020
• 关键词: incremental information-content; disclosure

摘要

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement line items are more frequently bundled with earnings announcements, and each of these items explains part of the increase in market response. Furthermore, collectively, these concurrent information releases explain a substantial fraction of the increase in market response to earnings announcements since 2001. This is in contrast to the decline in market response to management guidance issued separately from earnings and the much smaller increase in market response to analyst forecasts issued separately from earnings over this time. The findings indicate that information arrival at earnings announcement dates has increased significantly over the past two decades, and that key components of this are increased disclosures by management of guidance and financial statement line items and forecasts by analysts. (C) 2019 Elsevier B.V. All rights reserved.