Anticipated Earnings Announcements and the Customer-Supplier Anomaly

45 Pages Posted: 31 Jan 2015 Last revised: 31 Jan 2017

See all articles by Joshua Madsen

Joshua Madsen

University of Minnesota - Twin Cities - Carlson School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: November 2, 2016

Abstract

I test whether the anticipation of earnings news stimulates acquisition of customer information and mitigates returns to the customer-supplier anomaly documented by Cohen and Frazzini (2008). I find that attention to a firm’s publicly disclosed customers increases shortly before the firm announces earnings, and that customer stock returns predict supplier stock returns shortly before, but not after, the supplier’s earnings announcement. I further find some evidence that these predictable returns are increasing in the level of customer information acquisition. These results are unique to anticipated disclosure events and suggest that anticipation of supplier earnings announcements resolves investor limited attention to customer information and accelerates price discovery of customer news.

Keywords: Customer-Supplier anomaly, investor limited attention, anticipated earnings announcements

JEL Classification: M41, G11, G14

Suggested Citation

Madsen, Joshua, Anticipated Earnings Announcements and the Customer-Supplier Anomaly (November 2, 2016). Journal of Accounting Research, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2557555 or http://dx.doi.org/10.2139/ssrn.2557555

Joshua Madsen (Contact Author)

University of Minnesota - Twin Cities - Carlson School of Management ( email )

19th Avenue South
Minneapolis, MN 55455
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
417
Abstract Views
2,997
Rank
128,866
PlumX Metrics