Market-wide spillovers from individual firms’ earnings announcements

Abstract

In this paper, we document aggregate market reaction to firms’ news releases. We leverage the S&P500 index futures data and use narrow intraday and overnight windows to isolate the market-wide reactions to earnings announcements. We find that earnings announcements of individual large firms represent an economically significant source of market-wide news, on par with macroeconomic releases. These results highlight the significance of index-level information spillovers associated with earnings announcements. However, we also find that the magnitude of the aggregate market reaction to earnings announcements has declined over our sample period of 2004 – 2021. This decline contrasts with the increasing firm-level informativeness of earnings announcements documented in prior research.

Keywords: Earnings announcement, macroeconomic announcement, S&P 500 index returns, futures market, intraday price discovery

JEL Classification: G10, G12, G13, G14, M41