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 exploit differences in institutional and macroeconomic environments to shed light on what drives variation in the aggregate earnings-returns relation over time within the U.S. and across countries. We find that both intertemporal and cross-country variation in the aggregate earnings-returns...

This paper tests several predictions from an information diffusion framework in the quarterly earnings announcement setting. First, post-announcement drift is documented only for earnings announcements that have high information content (uncertainty), measured by high abnormal trading volume and...