Discretionary Announcement Timing and Stock Returns 

Abstract

Discretionary announcement timing generates high conditional risk premia of stock returns and a characteristic pattern of negative drifts followed by positive jumps. Average announcement returns are much larger than unconditional risk premia. Empirical use of the CAPM is likely to result in downward biased risk premium estimates. The effects are magnified when there are multiple firms that exercise discretion over the timing of correlated announcements. We present evidence that firms time earnings announcements in a manner consistent with our model.