|
The Time Pattern of Earnings Information Arrival at the Market
Myojung Cho,
Fordham University
ABSTRACT. This study investigates the time pattern of earnings information flow to the market, using return-earnings covariance as a proxy for the magnitude of earnings information flow. Results show that, on average, earnings information arrives at the market starting from approximately 86 weeks prior to the earnings announcement. The flow reaches its peak in the second quarter of the current year and significantly drops in the fourth quarter. While the general pattern of earnings information flow is maintained for firms of different sizes, further analysis shows significant differences in the timing and magnitude of earnings information flow between large and small firms, consistent with the predisclosure information hypothesis.
Full-Text is no longer available online. Please contact the author(s) for more information about this manuscript.
Back to Session Listing
|