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...

This analysis identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and,...

Trueman, Wong, and Zhang (TWZ) investigate an apparent anomaly in the pricing of internet firms around their earnings announcements, which they attribute to price pressure. The discussion addresses three concerns. The paper is unusual in choosing an event (earnings announcements) that does not...

We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns are less sensitive; underreaction is attenuated in down...

An analysis of about 300000 earnings forecasts, created by 18000 individual forecasters for earnings of over 300 S&P listed firms, shows that these forecasts are predictable to a large extent using a statistical model that includes publicly available information. When we focus on the...

This paper investigates whether the business press serves as an information intermediary. The press potentially shapes firms' information environments by packaging and disseminating information, as well as by creating new information through journalism activities. We find that greater press...

We show that a lack of investor trust affects the revision of cash flow expectations and delays the incorporation of accounting information into the stock price. To overcome investors' dependence on trust, managers can obtain external certification—either through credit ratings or by employing...

Stock prices following earnings announcements have become more efficient. Prices on announcement dates incorporate more quickly earnings surprises, leading to the disappearance of post-announcement price drifts. Evidence suggests that trading frictions commonly associated with market...

This study investigates whether financial data providers serve as information intermediaries in capital markets. To this end, I examine whether the timeliness of earnings information disseminated by First Call (Thomson Reuters) affects the market's reaction to earnings announcements. I document...