Calendar rotations: A new approach for studying the impact of timing using earnings announcements

We develop a novel methodology for studying the causal impact of announcement timing. Our methodology uses firms’ earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in announcem...

Full description

Saved in:

Bibliographic Details
Published in:	Journal of financial economics Vol. 140; no. 3; pp. 865 - 893
Main Authors:	Noh, Suzie, So, Eric C., Verdi, Rodrigo S.
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01-06-2021 Elsevier Sequoia S.A
Subjects:	Announcements Attention Calendars Earnings Earnings announcement premium Earnings announcements Exogenous shock Investors Leverage Mispricing Research methodology Timing G40 Earnings announcements Exogenous shock G41 G11 Mispricing Attention G10 G12 G14 Earnings announcement premium
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Description
Summary:	We develop a novel methodology for studying the causal impact of announcement timing. Our methodology uses firms’ earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in announcement timing as “calendar rotations,” which are uncorrelated with proxies for announcement content. In applying our methodology, we show announcements moved forward by calendar rotations receive heightened media and investor attention, and experience greater earnings announcement premia. Taken together, our study details a method for studying how the timing of information flows impacts outcomes of interest to financial economists.
ISSN:	0304-405X 1879-2774
DOI:	10.1016/j.jfineco.2021.01.009