Does Financial Reporting Frequency Affect Investors’ Reliance on Alternative Sources of Information? Evidence from Earnings Information Spillovers Around the World
53 Pages Posted: 18 Jan 2017 Last revised: 6 Feb 2018
Date Written: January 1, 2018
This paper investigates whether financial reporting frequency affects investors’ reliance on alternative sources of earnings information. We find that the returns of semi-annual earnings announcers are almost twice as sensitive to the earnings announcement returns of US industry bellwethers for non-reporting periods compared to reporting periods. Strikingly, these heightened spillovers are followed by return reversals when investors finally observe own-firm earnings at the subsequent semi-annual earnings announcement. This indicates that investors periodically overreact to peer-firm earnings news in the absence of own-firm earnings disclosures arising from low reporting frequency. Collectively, this study sheds light on how reporting frequency affects investors’ reliance on alternative sources of earnings information and the transmission of earnings news around the world.
Keywords: Financial Reporting Frequency, Information Spillovers, Bellwether Earnings News
JEL Classification: M41, M48, G14
Suggested Citation: Suggested Citation