50 Pages Posted: 18 Aug 2014 Last revised: 11 May 2017
Date Written: May 5, 2017
Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. 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 earnings schedules, we provide novel evidence markets fail to react to information about future earnings despite investors trading on the underlying signal at the same time.
Keywords: Anomaly, returns, earnings announcements, strategic reporting, timing
JEL Classification: G10, G11, G12, G14, M40, M41
Suggested Citation: Suggested Citation
Johnson, Travis L. and So, Eric C., Time Will Tell: Information in the Timing of Scheduled Earnings News (May 5, 2017). Available at SSRN: https://ssrn.com/abstract=2480662