Time Will Tell: Information in the Timing of Scheduled Earnings News
Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Desp...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
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Cambridge University Press (CUP)
2019
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| Online Access: | https://hdl.handle.net/1721.1/122364 |
| _version_ | 1826198381773455360 |
|---|---|
| author | Johnson, Travis L. So, Eric |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Johnson, Travis L. So, Eric |
| author_sort | Johnson, Travis L. |
| collection | MIT |
| description | Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show that equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to volatility-timing information embedded in the same scheduling disclosures, we provide novel evidence that markets fail to react to information about future earnings despite investors immediately trading on the underlying signal. |
| first_indexed | 2024-09-23T11:03:59Z |
| format | Article |
| id | mit-1721.1/122364 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T11:03:59Z |
| publishDate | 2019 |
| publisher | Cambridge University Press (CUP) |
| record_format | dspace |
| spelling | mit-1721.1/1223642024-07-19T20:06:23Z Time Will Tell: Information in the Timing of Scheduled Earnings News Johnson, Travis L. So, Eric Sloan School of Management Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show that equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to volatility-timing information embedded in the same scheduling disclosures, we provide novel evidence that markets fail to react to information about future earnings despite investors immediately trading on the underlying signal. 2019-10-03T19:06:38Z 2019-10-03T19:06:38Z 2018-10 2019-09-27T13:29:35Z Article http://purl.org/eprint/type/JournalArticle 0022-1090 1756-6916 https://hdl.handle.net/1721.1/122364 Johnson, Travis L. and Eric C. So. "Time Will Tell: Information in the Timing of Scheduled Earnings News." Journal of Financial and Quantitative Analysis 53, 6 (December 2018): 2431-2464 © 2018 Michael G. Foster School of Business, University of Washington en http://dx.doi.org/10.1017/s0022109018000492 Journal of Financial and Quantitative Analysis Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Cambridge University Press (CUP) Prof. So via Shikha Sharma |
| spellingShingle | Johnson, Travis L. So, Eric Time Will Tell: Information in the Timing of Scheduled Earnings News |
| title | Time Will Tell: Information in the Timing of Scheduled Earnings News |
| title_full | Time Will Tell: Information in the Timing of Scheduled Earnings News |
| title_fullStr | Time Will Tell: Information in the Timing of Scheduled Earnings News |
| title_full_unstemmed | Time Will Tell: Information in the Timing of Scheduled Earnings News |
| title_short | Time Will Tell: Information in the Timing of Scheduled Earnings News |
| title_sort | time will tell information in the timing of scheduled earnings news |
| url | https://hdl.handle.net/1721.1/122364 |
| work_keys_str_mv | AT johnsontravisl timewilltellinformationinthetimingofscheduledearningsnews AT soeric timewilltellinformationinthetimingofscheduledearningsnews |