What Do Measures of Real-Time Corporate Sales Tell Us About Earnings Surprises and Post-Announcement Returns?

55 Pages Posted: 27 Jun 2016

See all articles by Kenneth Froot

Kenneth Froot

National Bureau of Economic Research (NBER); Harvard University - Business School (HBS)

Namho Kang

Bentley University - Department of Finance

Gideon Ozik

EDHEC Business School

Ronnie Sadka

Boston College - Carroll School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: June 2016

Abstract

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain information from both the earnings quarter (“within quarter”) and the period between that quarter’s end and the earnings announcement date (“post quarter”). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises, and earnings surprises, generating average excess returns at announcement of 3.4%. However, surprisingly, our post-quarter measure is related negatively to announcement returns, and positively to post-announcement returns. When post-quarter private information is directionally strong, managers, at announcement, provide guidance and use language that points statistically in the opposite direction. This effect is more pronounced when, post-announcement, management insiders trade. We conclude managers do not fully disclose their private information and instead message to shareholders and analysts something of opposite sign. The data suggest they may be motivated in part by subsequent personal stock-trading opportunities.

Suggested Citation

Froot, Kenneth and Kang, Namho and Ozik, Gideon and Sadka, Ronnie, What Do Measures of Real-Time Corporate Sales Tell Us About Earnings Surprises and Post-Announcement Returns? (June 2016). NBER Working Paper No. w22366, Available at SSRN: https://ssrn.com/abstract=2800875

Kenneth Froot (Contact Author)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Harvard University - Business School (HBS) ( email )

Soldiers Field Road
Morgan 270C
Boston, MA 02163
United States

Namho Kang

Bentley University - Department of Finance ( email )

175 Forest Street
Waltham, MA 02154
United States

Gideon Ozik

EDHEC Business School ( email )

Nice
France

Ronnie Sadka

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
15
Abstract Views
795
PlumX Metrics