Estimating the Precision of Information on Earnings and Non-Earnings Announcement Days, and Its Relation with the Cost of Equity

47 Pages Posted: 11 Mar 2016 Last revised: 12 Apr 2018

See all articles by Eli Amir

Eli Amir

Tel Aviv University

Shai Levi

Tel Aviv University

Date Written: March 30, 2018

Abstract

Using daily stock returns, we estimate the precision of information during earnings and non-earnings announcement days, and find that although the precision of information in daily stock returns increases during earnings announcement days, it explains less of the variation in expected returns than the precision of information on non-earnings announcement days. Our findings suggest that the precision of earnings disclosures has a small effect on the cost of equity relative to the precision of information on other days of the year.

Keywords: Precision; Cost of Capital; Earnings Announcements; Earnings Quality; Disclosure

JEL Classification: M41, G14

Suggested Citation

Amir, Eli and Levi, Shai, Estimating the Precision of Information on Earnings and Non-Earnings Announcement Days, and Its Relation with the Cost of Equity (March 30, 2018). European Accounting Review Forthcoming. Available at SSRN: https://ssrn.com/abstract=2745462 or http://dx.doi.org/10.2139/ssrn.2745462

Eli Amir

Tel Aviv University ( email )

312 Recanati Bldg.
69978 Tel Aviv
Israel
+972 3 640-8510 (Phone)
+972 3 640-7738 (Fax)

Shai Levi (Contact Author)

Tel Aviv University ( email )

Tel Aviv, 69978
Israel

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