The structure of information release and the factor structure of returns

Thomas Gilbert, Christopher Hrdlicka and Avraham Kamara

Journal of Financial Economics, 2018, vol. 127, issue 3, 546-566

Abstract: We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism’s empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and HML’s seasonal alpha reduction and one third of their overall alpha reduction. Controlling for size and book-to-market, exposures to SMB and HML vary with firms’ earnings announcement month.

Keywords: Earnings announcements; CAPM; Factor models; SMB; HML (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:127:y:2018:i:3:p:546-566

DOI: 10.1016/j.jfineco.2018.01.007

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