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Announcing the announcement

Romain Boulland and Olivier Dessaint

Journal of Banking & Finance, 2017, vol. 82, issue C, 59-79

Abstract: What drives investors’ attention? We study how far in advance earnings calendars are pre-announced and find that investors are more attentive to earnings news when such details are disclosed well ahead of time. This variation in investors' attention affects short-run and long-run stock returns, thereby creating incentives for firms to strategically pre-announce the report date on short notice when the earnings news is bad. Consistent with this idea, firms pre-announce their report dates well ahead of time when earnings are good and do it at the very last moment when earnings are bad. A trading strategy that exploits such variations yields abnormal returns of 1.5% per month.

Keywords: Investor attention; Media coverage; Earnings announcements; Earnings conference call (search for similar items in EconPapers)
JEL-codes: D83 G14 G32 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:jbfina:v:82:y:2017:i:c:p:59-79