Calendar rotations: A new approach for studying the impact of timing using earnings announcements

Suzie Noh, Eric C. So and Rodrigo S. Verdi

Journal of Financial Economics, 2021, vol. 140, issue 3, 865-893

Abstract: We develop a novel methodology for studying the causal impact of announcement timing. Our methodology uses firms’ earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in announcement timing as “calendar rotations,” which are uncorrelated with proxies for announcement content. In applying our methodology, we show announcements moved forward by calendar rotations receive heightened media and investor attention, and experience greater earnings announcement premia. Taken together, our study details a method for studying how the timing of information flows impacts outcomes of interest to financial economists.

Keywords: Earnings announcements; Exogenous shock; Mispricing; Attention; Earnings announcement premium (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 G40 G41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:140:y:2021:i:3:p:865-893

DOI: 10.1016/j.jfineco.2021.01.009

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