Quarterly vs. Semiannual Reporting: A Cross-Market Analysis of Earnings Announcement Reactions in the US and Europe

Mark A. Ritter and Yusuf J. Ugras ()
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Mark A. Ritter: Jack Welch College of Business, Sacred Heart University, 5151 Park Ave., Fairfield, CT 06825, USA
Yusuf J. Ugras: Accounting Department, School of Business, La Salle University, 1900 West Olney Ave., Philadelphia, PA 19141, USA

IJFS, 2025, vol. 13, issue 4, 1-21

Abstract: This study re-examines the ongoing debate over corporate disclosure frequency amid renewed calls to replace quarterly with semiannual reporting in U.S. markets. While traditional theories hold that frequent disclosure enhances informational efficiency by reducing asymmetry, emerging evidence highlights trade-offs involving managerial myopia, earnings management, and heightened short-term volatility. Using data from 2007 to 2024, the study compares Dow Jones Industrial Average firms, which report quarterly, with STOXX 50 firms, which report semiannually, to assess how disclosure cadence affects market reactions to earnings news The methodology involves identifying volatility regimes using Self-Exciting Threshold Autoregressive (SETAR) models, estimating dynamic betas with the GARCH(1,1) model, and analyzing shock transmission through vector autoregressions with cumulative impulse response functions (CIRFs). The results show that quarterly reporters exhibit larger immediate price reactions but faster normalization, implying that more frequent reporting accelerates information assimilation while amplifying contemporaneous volatility. Sectoral heterogeneity is pronounced: cyclical industries display higher beta volatility and steeper, but shorter-lived responses, whereas defensive stocks exhibit smoother convergence. These findings suggest that disclosure frequency influences both the intensity and duration of information shocks, providing insights for regulators who aim to balance transparency, market efficiency, and reporting costs across varying volatility and sectoral environments.

Keywords: earnings announcements; reporting frequency; beta-adjusted returns; volatility regimes; VAR/CIRF; GARCH (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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