The Disappearing Earnings Announcement Premium
45 Pages Posted: 19 Dec 2018 Last revised: 24 Mar 2019
Date Written: March 20, 2019
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: Suggested Citation