This paper examines changes in the information content of earnings over the past three decades using the two metrics from Beaver (1968): abnormal trading volume and abnormal return volatility. We find no evidence of a decline in the information content of earnings announcements over the past three decades, as measured by both abnormal trading volume and return volatility around quarterly earnings announcements. If anything, our results suggest an increase over time in the informativeness of quarterly earnings announcements. Variables reflecting changes in firm‐specific factors account for a portion of the observed increase.
Journal of Accounting Research – Wiley
Published: Jun 1, 2002
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