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Earnings Announcements Informativeness and Expected Stock Returns
2019-01-10 23:18:13
by Yu Cai, Tongji University

Wednesday, Dec 19, 2018 | 2:00pm-3:30pm | Room 335, HSBC Business School Building


Abstract


Shareholders expect volatile price changes around earnings announcements when they have poor information on firm value ex ante. We construct an empirical measure of poor information environment based on the informativeness of earnings announcements relative to the non-announcement period and find that poor information environment is associated with high expected returns for U.S. stocks. The findings are stronger among less mature firms and those with less liquid stocks.
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