TY - JOUR
T1 - Increased market response to earnings announcements in the 21st century
T2 - An Empirical Investigation
AU - Beaver, William H.
AU - McNichols, Maureen F.
AU - Wang, Zach Z.
N1 - The authors thank Michelle Hanlon (editor) and Edward Maydew (the referee) for their many helpful comments on the paper. We also thank Andy Bauer, Jennifer Francis, Katherine Schipper, Pat O'Brien, Andy Van Buskirk, Christine Wiedman, and Paul Zarowin (discussant) for helpful discussions and Paul Reist and Nora Richardson for their assistance in data collection. The authors appreciate the many helpful comments from workshop and doctoral seminar participants at Stanford University, University of Illinois at Urbana-Champaign, University of Illinois at Chicago and University of Waterloo. Prior versions of the paper were circulated under the title: “Increased Information Content of Earnings Announcements in the 21st Century: An Empirical Investigation.” The authors gratefully acknowledge the research support of the Stanford Graduate School of Business and the University of Illinois at Urbana-Champaign . Appendix A
The authors thank Michelle Hanlon (editor) and Edward Maydew (the referee) for their many helpful comments on the paper. We also thank Andy Bauer, Jennifer Francis, Katherine Schipper, Pat O'Brien, Andy Van Buskirk, Christine Wiedman, and Paul Zarowin (discussant) for helpful discussions and Paul Reist and Nora Richardson for their assistance in data collection. The authors appreciate the many helpful comments from workshop and doctoral seminar participants at Stanford University, University of Illinois at Urbana-Champaign, University of Illinois at Chicago and University of Waterloo. Prior versions of the paper were circulated under the title: ?Increased Information Content of Earnings Announcements in the 21st Century: An Empirical Investigation.? The authors gratefully acknowledge the research support of the Stanford Graduate School of Business and the University of Illinois at Urbana-Champaign.
PY - 2020/2
Y1 - 2020/2
N2 - 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.
AB - 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.
KW - Analyst forecasts
KW - Capital markets
KW - Earnings announcements
KW - Financial statements
KW - Management guidance
KW - Return volatility
UR - https://www.scopus.com/pages/publications/85072394448
UR - https://www.scopus.com/pages/publications/85072394448#tab=citedBy
U2 - 10.1016/j.jacceco.2019.101244
DO - 10.1016/j.jacceco.2019.101244
M3 - Article
AN - SCOPUS:85072394448
SN - 0165-4101
VL - 69
JO - Journal of Accounting and Economics
JF - Journal of Accounting and Economics
IS - 1
M1 - 101244
ER -