The relation between average equity return and market exposure behaves distinctively on days on which early earnings announcements are made by firms for which the announcements have a large spillover “influence” on discount rates and expectations of earnings for related firms. On such days...

We study the role of firm ambiguity on stock price reaction to earnings announcements. By using the firm's variance risk premium (VRP) prior to earnings news arrivals as a proxy for firm-level information ambiguity, we provide evidence that this “micro” form of ambiguity has a significant...