Does Firm-specific Disclosure Help Resolve Uncertainty Around Macroeconomic Announcements?
67 Pages Posted: 13 Aug 2019 Last revised: 1 Jul 2021
Date Written: June 28, 2021
We examine whether timely firm-specific disclosure complements subsequent macroeconomic news to help resolve investor uncertainty. We find that when firms announce earnings in the 30 days prior to an FOMC release, they experience a significantly larger decrease in implied volatility around the release. Firms with recent voluntary 8K filings and press releases also experience greater uncertainty resolution around FOMC announcements, even in the absence of an earnings announcement. These complementary disclosure effects are stronger for firms that are more financially constrained or have greater investment opportunities. We further find that disclosures containing more news or that are timelier (i.e., closer to the FOMC release) have greater ability to resolve uncertainty around FOMC announcements. Taken together, the results suggest that timely disclosures, both mandatory and voluntary, convey useful information that complements macroeconomic news in resolving investor uncertainty, thereby highlighting a benefit of firm-specific disclosure that has been largely unexplored.
Keywords: disclosure, earnings announcement; uncertainty; implied volatility; monetary policy; macroeconomic announcements
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