Discretionary Announcement Timing and Stock Returns

• 成果类型: Article; Early Access
• 署名作者: Back, Kerry; Carlin, Bruce I.; Kazempour, Seyed M.; Xie, Chloe L.
• 署名单位: Rice University; Rice University; Louisiana State University System; Louisiana State University; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70073
• 发表日期: 2026-09-03
• 关键词: earnings; disclosure; MARKET

摘要

Discretionary announcement timing generates high conditional risk premia of stock returns and a pattern of negative drifts followed by positive jumps. Average announcement returns are much larger than unconditional risk premia. Capital Asset Pricing Model alphas turn negative when conditioning on nondisclosure because betas rise faster than risk premia prior to disclosures, but average announcement returns may appear to be too large relative to market risk when betas are estimated from past returns. The effects are amplified when multiple firms exercise discretion over the timing of correlated announcements. We present evidence that firms time earnings announcements in a manner consistent with our model.