Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades?
使用异常交易量和异常收益波动率两个指标，检验过去三十年盈余公告信息含量的变化，发现没有下降反而有所上升，部分由公司特定因素变化解释。
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.