Anticipated Earnings Announcements and the Customer-Supplier Anomaly
45 Pages Posted: 31 Jan 2015 Last revised: 31 Jan 2017
There are 2 versions of this paper
Anticipated Earnings Announcements and the Customer-Supplier Anomaly
Anticipated Earnings Announcements and the Customer–Supplier Anomaly
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: Suggested Citation