The Dynamic Informativeness of Scheduled News

37 Pages Posted: 15 Apr 2020 Last revised: 1 Nov 2023

See all articles by Julio A. Crego

Julio A. Crego

Tilburg University

Jasmin Gider

Tilburg University - Tilburg University School of Economics and Management

Date Written: December 16, 2022

Abstract

We propose a method to identify the informativeness of a future scheduled announcement at the daily level, exploiting the discontinuity it creates in the term structure of option volatility. We implement the strategy in a panel data model to estimate the relation between prior signals and the future announcement. This method allows to separate substitutes from complements, can isolate multiple signals within the same quarter and can condition on the timing and signal characteristics. We find that analyst forecasts substitute earnings announcement information and recommendations do not provide extra information on top of forecasts. Moreover, our evidence suggests that insiders sell to avoid uncertainty when the announcement is far away but pull forward earnings information when they trade one month before.

Keywords: Corporate Disclosure, Scheduled News, Earnings Announcements, Option Prices, Informed Trading, Financial Analysts

JEL Classification: G14, G30, M40, M41

Suggested Citation

Crego, Julio and Gider, Jasmin, The Dynamic Informativeness of Scheduled News (December 16, 2022). Available at SSRN: https://ssrn.com/abstract=3561462 or http://dx.doi.org/10.2139/ssrn.3561462

Julio Crego

Tilburg University ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE
Netherlands

Jasmin Gider (Contact Author)

Tilburg University - Tilburg University School of Economics and Management ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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