Information Spillovers at Earnings Announcements

• 成果类型: Article
• 署名作者: Frankel, Richard; Godigbe, Bright Gershion; Rabier, Maryjane
• 署名单位: Washington University (WUSTL); Oregon State University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12562
• 发表日期: 2025
• 页码: 319-362
• 关键词: firms; disclosure; transfers; investor

摘要

Research documents price co-movements, or spillovers, between focal firms and their peers at focal firms' earnings announcements. We find that both signed and absolute co-movements between focal- and peer-firm returns are significantly lower at earnings-announcement dates compared to other dates. Analytically, we demonstrate that co-movements do not necessarily indicate common information; instead, co-movements measure the relative proportion of focal firm-specific information to common information in focal-firm earnings announcements. We study three settings where information transfers might be higher: when focal firms report significant earnings surprises, are industry leaders, or share correlated earnings patterns with peer firms. We continue to find lower return correlations during focal-firm earnings announcements. We conduct two alternative tests but fail to find evidence that common information released during focal-firm earnings announcements is significantly greater than on other days. These results raise doubt about the extent of the information externality attributable to financial-report releases.