Earnings Announcements and Systematic Risk
研究发现，计划发布盈利公告的公司年化异常收益达9.9%，并提出基于风险的解释：投资者利用公告更新对非公告公司的预期，但过程不完美，导致公告期间公司特定与市场现金流新闻的协方差飙升，使公告公司风险更高。
ABSTRACT Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk‐based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm‐specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement premium is persistent across stocks, and early (late) announcers earn higher (lower) returns. Nonannouncers' response to announcements is consistent with our model, both over time and across firms. Finally, exposure to announcement risk is priced.