Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be … consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns … only during months when firms have earnings or M&A announcements. Moreover, the higher returns are realized mostly around …

This study examines how a stock security’s cash flow duration impacts stock price reactions at earnings announcements …. We find that stock price reactions are positively associated with cash flow duration, especially when earnings surprises … earnings announcements. We further show that the greater stock price reaction for firms with longer cash flow duration could be …