The Disappearing Earnings Announcement Premium

61 Pages Posted: 19 Dec 2018 Last revised: 22 Feb 2021

See all articles by Amanda Heitz

Amanda Heitz

A.B. Freeman School of Business Tulane University

Ganapathi S. Narayanamoorthy

Tulane University - Accounting & Taxation

Morad Zekhnini

Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management

Date Written: November 27, 2020

Abstract

The earnings announcement premium, whereby a stock earns abnormal returns over its earnings announcement period, has been the subject of extensive research. We provide the first evidence that this premium has disappeared in the US in recent years. We show that increased filings of material information (Form 8-K) due to a regulatory change is responsible for this disappearance. Information traditionally contained in earnings announcements is now preempted by 8-K filings, and the announcement premium has shifted to 8-K filing dates. Our results are consistent with an information uncertainty resolution, rather than a behavioral attention-based, explanation for the premium.

Keywords: Earnings announcement premium, Disclosure, 8-K filings

JEL Classification: G14, G28

Suggested Citation

Heitz, Amanda and Narayanamoorthy, Ganapathi S. and Zekhnini, Morad, The Disappearing Earnings Announcement Premium (November 27, 2020). Available at SSRN: https://ssrn.com/abstract=3296537 or http://dx.doi.org/10.2139/ssrn.3296537

Amanda Heitz

A.B. Freeman School of Business Tulane University ( email )

6823 Saint Charles Avenue
New Orleans, LA
United States

Ganapathi S. Narayanamoorthy

Tulane University - Accounting & Taxation ( email )

United States

Morad Zekhnini (Contact Author)

Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management ( email )

East Lansing, MI 48824-1121
United States

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