This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed's...

We examine differences in quarterly earnings announcement returns as a function of meeting or missing each of three earnings thresholds – reporting a profit, reporting an increase in earnings, and meeting analysts' forecasts. In contrast to prior research, the research design identifies the...

We examine differences in quarterly earnings announcement returns as a function of meeting or missing each of three earnings thresholds – reporting a profit, reporting an increase in earnings, and meeting analysts' forecasts. In contrast to prior research, the research design identifies the...

Based on a unique arrangement of trading and disclosure times around earnings announcements in the Chinese stock market, we provide evidence of a striking overnight-intraday disparity in terms of the reaction to earnings news. Specifically, we find that the overnight period exhibits a strong and...