Calendar Rotations: A New Approach for Studying the Impact of Timing using Earnings Announcements
49 Pages Posted: 28 Oct 2019
Date Written: October 22, 2019
We develop a novel methodology for studying the impact of the timing component of firms’ earnings announcements. Our methodology relies on quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in firms’ announcement timing as ‘calendar rotations,’ which we verify are uncorrelated with proxies for the news content of firms’ announcements. In applying our methodology, we show firms whose earnings announcements are moved forward by calendar rotations receive greater media coverage, heightened attention from investors, and increases in earnings announcement premia. Taken together, our study details a method for studying how the timing of information flows impacts outcomes of interest to financial economists, and provides evidence that the sequence of news shapes the behavior of informational intermediaries and the dynamics of market prices.
JEL Classification: G10, G11, G12, G14, G40, G41
Suggested Citation: Suggested Citation