Increased market response to earnings announcements in the 21st century: An Empirical Investigation

William H. Beaver, Maureen F. McNichols, Zach Z. Wang

Research output: Contribution to journalArticle

Abstract

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement line items are more frequently bundled with earnings announcements, and each of these items explains part of the increase in market response. Furthermore, collectively, these concurrent information releases explain a substantial fraction of the increase in market response to earnings announcements since 2001. This is in contrast to the decline in market response to management guidance issued separately from earnings and the much smaller increase in market response to analyst forecasts issued separately from earnings over this time. The findings indicate that information arrival at earnings announcement dates has increased significantly over the past two decades, and that key components of this are increased disclosures by management of guidance and financial statement line items and forecasts by analysts.

Original languageEnglish (US)
Article number101244
JournalJournal of Accounting and Economics
Volume69
Issue number1
DOIs
StatePublished - Feb 2020

Keywords

  • Analyst forecasts
  • Capital markets
  • Earnings announcements
  • Financial statements
  • Management guidance
  • Return volatility

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Increased market response to earnings announcements in the 21st century: An Empirical Investigation'. Together they form a unique fingerprint.

  • Cite this