Calendar Rotations: A New Approach for Studying the Impact of Timing using Earnings Announcements

49 Pages Posted: 28 Oct 2019

See all articles by Suzie Noh

Suzie Noh

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Eric C. So

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Rodrigo S. Verdi

Massachusetts Institute of Technology (MIT)

Date Written: October 22, 2019

Abstract

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

Noh, Suzie and So, Eric C. and Verdi, Rodrigo S., Calendar Rotations: A New Approach for Studying the Impact of Timing using Earnings Announcements (October 22, 2019). Available at SSRN: https://ssrn.com/abstract=3473873 or http://dx.doi.org/10.2139/ssrn.3473873

Suzie Noh (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

77 Massachusetts Ave.
Cambridge, MA 02142
United States

Eric C. So

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-416
Cambridge, MA 02142
United States

Rodrigo S. Verdi

Massachusetts Institute of Technology (MIT) ( email )

Sloan School of Management
100 Main Street E62-666
Cambridge, MA 02142
United States
(617) 253 2956 (Phone)

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