The Disappearing Earnings Announcement Premium
61 Pages Posted: 19 Dec 2018 Last revised: 22 Feb 2021
Date Written: November 27, 2020
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: Suggested Citation