The Disappearing Earnings Announcement Premium

45 Pages Posted: 19 Dec 2018 Last revised: 24 Mar 2019

See all articles by Amanda Heitz

Amanda Heitz

A.B. Freeman School of Business Tulane University

Ganapathi S. Narayanamoorthy

Tulane University - Accounting & Taxation

Morad Zekhnini

Tulane University

Date Written: March 20, 2019

Abstract

The earnings announcement premium, whereby a stock earns abnormal returns over its earnings announcement period, has been the subject of extensive research. We provide the first evidence that this premium has disappeared in the US in recent years. We theorize that the increased filings of material information (Form 8-K) due to a regulatory change is responsible for this disappearance. Information traditionally contained in earnings announcements is now preempted by 8-K filings, and the announcement premium has shifted to 8-K filing dates. These results are consistent with our information uncertainty resolution model and inconsistent with attention-based behavioral explanations.

Keywords: Earnings announcement premium, Disclosure, 8-K lings

JEL Classification: G14, G28

Suggested Citation

Heitz, Amanda and Narayanamoorthy, Ganapathi S. and Zekhnini, Morad, The Disappearing Earnings Announcement Premium (March 20, 2019). Available at SSRN: https://ssrn.com/abstract=3296537 or http://dx.doi.org/10.2139/ssrn.3296537

Amanda Heitz

A.B. Freeman School of Business Tulane University ( email )

6823 Saint Charles Avenue
New Orleans, LA
United States

Ganapathi S. Narayanamoorthy

Tulane University - Accounting & Taxation ( email )

United States

Morad Zekhnini (Contact Author)

Tulane University ( email )

A.B. Freeman School of Business
7 McAlister Drive
New Orleans, LA 70118
United States

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