The Dynamic Informativeness of Scheduled News

42 Pages Posted: 15 Apr 2020 Last revised: 8 Feb 2022

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: February 8, 2022

Abstract

This paper provides a simple-to-estimate panel data methodology that reveals the dynamic nature of the informativeness of scheduled news before they realize. Our method exploits the discontinuity in the term structure of options around the event to obtain a daily, forward-looking measure of its informativeness. This approach allows to quantify the contribution of a range of market signals to learning about the scheduled event. We apply this measure to earnings announcements and study the relative contributions of signals by equity research analysts, credit ratings, activists, the firm itself and corporate insiders. As expected, we find that analyst forecast and credit rating changes anticipate some information from the earnings announcement. A similar effect arises with insider buys, which suggests that they exploit foreknowledge of the announcement. However, sales by corporate insiders carry information about the volatility of the scheduled news, consistent with the overexposure of these agents to firm value which translates into a preference to avoid the uncertainty produced by the event.

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 (February 8, 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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