48 Pages Posted: 18 Aug 2014 Last revised: 14 Feb 2017
Date Written: February 13, 2017
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: 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
By Andrew Ang