Month-End Reporting, Cash-Flow News, and Asset Pricing
74 Pages Posted: 15 Sep 2020
Date Written: September 1, 2020
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: Suggested Citation