Month-End Reporting, Cash-Flow News, and Asset Pricing

74 Pages Posted: 15 Sep 2020

See all articles by Claire Yurong Hong

Claire Yurong Hong

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Jialin Yu

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Date Written: September 1, 2020

Abstract

We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns exhibit a post-monthly-announcement drift. Time series market momentum exists only when conditioning on past first-half month return, and is stronger when the past market-wide earnings surprise is bigger.

Keywords: Month-End Reporting; Disclosure; Momentum; Cash-Flow News

JEL Classification: G10; G12; G14

Suggested Citation

Hong, Claire Yurong and Yu, Jialin, Month-End Reporting, Cash-Flow News, and Asset Pricing (September 1, 2020). Available at SSRN: https://ssrn.com/abstract=3685595 or http://dx.doi.org/10.2139/ssrn.3685595

Claire Yurong Hong (Contact Author)

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

211 West Huaihai Road
Shanghai, China
Shanghai, Shanghai 200030
China

HOME PAGE: http://https://sites.google.com/site/claireyuronghong/

Jialin Yu

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
100
Abstract Views
355
rank
297,650
PlumX Metrics