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

57 Pages Posted: 28 Oct 2019 Last revised: 2 Jun 2020

See all articles by Suzie Noh

Suzie Noh

Stanford Graduate School of Business; 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: June 1, 2020

Abstract

We develop a novel methodology for studying the causal impact of announcement timing. Our methodology uses firms' earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in announcement timing as 'calendar rotations,' which are uncorrelated with proxies for announcement content. In applying our methodology, we show announcements moved forward by calendar rotations receive heightened media and investor attention, and experience greater 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.

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 (June 1, 2020). Journal of Financial Economics (JFE), Forthcoming, Available at SSRN: https://ssrn.com/abstract=3473873 or http://dx.doi.org/10.2139/ssrn.3473873

Suzie Noh (Contact Author)

Stanford Graduate School of Business ( email )

655 Knight Way
Stanford, CA 94305-5015
United States

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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