Time Will Tell: Information in the Timing of Scheduled Earnings News
研究发现，公司提前公布的盈利公告日期比预期晚，往往预示着更差的盈利消息；尽管这些信息在公告前几周就可获得，股票市场却未能及时反应，而期权市场则能有效利用其中的波动性时机信息。
Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show that equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to volatility-timing information embedded in the same scheduling disclosures, we provide novel evidence that markets fail to react to information about future earnings despite investors immediately trading on the underlying signal.