Is There News in the Timing of Earnings Announcements?

Posted: 17 Sep 2014 Last revised: 2 Nov 2015

See all articles by Joshua Livnat

Joshua Livnat

New York University; Prudential Financial - Quantitative Management Associates

Li Zhang

Rutgers, The State University of New Jersey - Accounting

Date Written: January 27, 2015

Abstract

This study examines the value relevance of the timing of earnings announcement dates relative to prior expectations. It shows that when firms advance their earnings announcements at least four days prior to expectations, the earnings surprises in those quarters tend to be positive and the abnormal returns from two days after the earnings release date was announced through one day after earnings are actually announced are positive and significant. The converse is true for firms that delay their earnings announcement at least four days relative to prior expectations. The study also shows that firms which delay their earnings release date at least four days after previously setting the date earlier are characterized by both negative earnings surprises and abnormal returns from the delay announcements through one day after the actual earnings announcement date. These results can be used by investors to earn abnormal returns, by security analysts in revising their forecasts, and by option traders when earnings announcement dates cross option expiration dates.

Keywords: Timing, Earnings announcements, Trading strategy

JEL Classification: M41, G11

Suggested Citation

Livnat, Joshua and Zhang, Li, Is There News in the Timing of Earnings Announcements? (January 27, 2015). Journal of Investing, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2497115 or http://dx.doi.org/10.2139/ssrn.2497115

Joshua Livnat

New York University ( email )

44 West 4th Street, Suite 10-76
Stern School of Business
New York, NY 10012-1118
United States
212-998-0022 (Phone)
212-995-4004 (Fax)

Prudential Financial - Quantitative Management Associates ( email )

2 Gateway Center
6th Fl.
Newark, NJ 07102
United States

Li Zhang (Contact Author)

Rutgers, The State University of New Jersey - Accounting ( email )

1 Washington Park, Room 996
Newark, NJ 07102
United States

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