Does Firm-specific Disclosure Help Resolve Uncertainty Around Macroeconomic Announcements?

54 Pages Posted: 13 Aug 2019 Last revised: 29 May 2024

See all articles by Jin Kyung Choi

Jin Kyung Choi

University of Maryland - Robert H. Smith School of Business

Lindsey A. Gallo

University of Michigan, Stephen M. Ross School of Business

Rebecca N. Hann

University of Maryland - Robert H. Smith School of Business

Heedong Kim

Baruch College, City University of New York

Date Written: May 24, 2024

Abstract

We examine whether timely firm-level earnings news complements subsequent macroeconomic news to help resolve investor uncertainty. We find that when firms announce earnings in the 30 days prior to a Federal Open Market Committee (FOMC) release, they experience a significantly larger decrease in implied volatility around the release. This effect is more pronounced for firms that face greater exposure to policy uncertainty, are more financially constrained, or have greater investment opportunities. We further find that there is a greater reduction of uncertainty when the earnings call contains more macroeconomic content. Additional analysis shows that these firms also experience an increase in EDGAR downloads around FOMC announcements. Taken together, the results suggest that timely earnings announcements convey useful information that complements subsequent 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, FOMC, investor uncertainty, information processing

Suggested Citation

Choi, Jin Kyung and Gallo, Lindsey A. and Hann, Rebecca N. and Kim, Heedong, Does Firm-specific Disclosure Help Resolve Uncertainty Around Macroeconomic Announcements? (May 24, 2024). Baruch College Zicklin School of Business Research Paper No. 2019-08-02, Available at SSRN: https://ssrn.com/abstract=3434565 or http://dx.doi.org/10.2139/ssrn.3434565

Jin Kyung Choi

University of Maryland - Robert H. Smith School of Business ( email )

College Park, MD 20742-1815
United States

Lindsey A. Gallo (Contact Author)

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
7347648243 (Phone)

Rebecca N. Hann

University of Maryland - Robert H. Smith School of Business ( email )

College Park, MD 20742-1815
United States

Heedong Kim

Baruch College, City University of New York ( email )

One Bernard Baruch Way
New York, NY 10010
United States

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