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...

Market data for financial studies typically derives from either historical transactions or contemporaneous surveys of sentiment and perceptions. The research communities analyzing data from these opposing categories of source data see themselves as distinct, with advantages not shared by the...