The information content of earnings announcements: new insights from intertemporal and cross-sectional behavior

• 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: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-017-9417-z
• 发表日期: 2018
• 页码: 95-135
• 关键词: price behavior; book value; DISCLOSURES; valuation; forecasts; equity; income; time

摘要

This study examines the information content of quarterly earnings announcements, measured as the magnitude of stock price revision at earnings announcements relative to price revision at other times. We investigate whether quarterly earnings announcements are informative using a nonparametric approach and 1971-2011 sample period. The findings affirm prior evidence on earlier sample periods that significantly more information is conveyed to investors in the three days around earnings announcements than in randomly chosen three-day periods. Next, we examine the behavior of information content over our sample period and document four key findings. First, there is a dramatic increase in information content at earnings dates from 2001 onward. Second, the market reaction to loss firms is substantially less than that for profitable firms. Third, there is a significantly greater reaction to larger firms. Fourth, reaction at earnings dates is significantly increasing in analyst coverage, and once analyst coverage is controlled, the association with size becomes less significant.