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

48 Pages Posted: 18 Aug 2014 Last revised: 14 Feb 2017

Travis L. Johnson

The University of Texas at Austin - Department of Finance

Eric C. So

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

Date Written: February 13, 2017

Abstract

Using ex-post measures of earnings announcement timing, prior research shows that early announcements convey better news than late announcements, and that equity markets react negatively to late announcements. By contrast, using ex-ante earnings calendar data, we show that calendar revisions foreshadow firms' earnings news and investors observe these revisions weeks ahead of the announcements, but that equity markets fail to react until the announcements. By showing option markets respond efficiently to 'volatility-timing' information in calendar revisions, we also provide novel evidence that markets fail to react to information about future earnings despite investors trading on the underlying signal in real-time.

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 (February 13, 2017). Available at SSRN: https://ssrn.com/abstract=2480662

Travis L. Johnson

The University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States

HOME PAGE: http://faculty.mccombs.utexas.edu/johnson

Eric C. So (Contact Author)

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

77 Massachusetts Ave.
E62-416
Cambridge, MA 02142
United States

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