How Important are Earnings Announcements as an Information Source?
研究用R平方指标衡量盈利公告在年度回报中的信息占比，发现其重要性高于其他公告，是股票市场的重要新信息来源。
In a competitive information market, a single information source can only dominate other sources individually, not collectively. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar's (2008) [How much new information is there in earnings?, Journal of Accounting Research , 2008, 46(5), pp. 975--1016] R -super-2 metric: the proportion of the variation in annual returns explained by the four quarterly earnings announcement returns. We find that the earnings announcement days' R -super-2 is 11% -- higher than the corresponding R -super-2 of days with dividend announcements, management forecasts, preannouncements, and 10-K and 10-Q filings and their amendments, and comparable to that of the four days with the largest realised absolute returns in a year. Additional analysis reveals that earnings announcements convey extreme bad news as often as management forecasts and preannouncements; for any other type of news, earnings announcements are much more frequent. We conclude that earnings announcements are an important source of new information in the equity market.