Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades?

Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades? 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Accounting Research Wiley

Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades?

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Publisher
Wiley
Copyright
University of Chicago on behalf of the Institute of Professional Accounting, 2002
ISSN
0021-8456
eISSN
1475-679X
D.O.I.
10.1111/1475-679X.00071
Publisher site
See Article on Publisher Site

Abstract

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

Journal of Accounting ResearchWiley

Published: Jun 1, 2002

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