Time Will Tell: Information in the Timing of Scheduled Earnings News

51 Pages Posted: 18 Aug 2014 Last revised: 1 Jul 2017

See all articles by Travis L. Johnson

Travis L. Johnson

The University of Texas at Austin

Eric C. So

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Date Written: June 30, 2017

Abstract

Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to `volatility-timing' information embedded in the same scheduling disclosures, we provide novel evidence markets fail to react to information about future earnings despite investors immediately trading on the underlying signal.

Keywords: Anomaly, returns, earnings announcements, strategic reporting, timing

JEL Classification: G10, G11, G12, G14, M40, M41

Suggested Citation

Johnson, Travis L. and So, Eric C., Time Will Tell: Information in the Timing of Scheduled Earnings News (June 30, 2017). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Available at SSRN: https://ssrn.com/abstract=2480662 or http://dx.doi.org/10.2139/ssrn.2480662

Travis L. Johnson

The University of Texas at Austin ( email )

2110 Speedway Stop B6600
Austin, TX Texas 78712
United States
6178995325 (Phone)

HOME PAGE: http://travislakejohnson.com

Eric C. So (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-416
Cambridge, MA 02142
United States

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