Time Will Tell: Information in the Timing of Scheduled Earnings News

Travis L. Johnson and Eric C. So

Journal of Financial and Quantitative Analysis, 2018, vol. 53, issue 6, 2431-2464

Abstract: Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show that equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to volatility-timing information embedded in the same scheduling disclosures, we provide novel evidence that markets fail to react to information about future earnings despite investors immediately trading on the underlying signal.

Date: 2018
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