Beyond the Event Window: Earnings Horizon and the Informativeness of Earnings Announcements
提出“盈余期限”概念，衡量盈余公告减少投资者不确定性的时间跨度，发现事件研究法高估了其信息含量，且投资者需要更长时间才能完全消化公告信息。
ABSTRACT The impact of earnings announcements (EAs) on investor uncertainty depends not only on how much new information they contain but also on how long it would take comparable information to arrive in the future through alternative sources, which I term “earnings horizon.” Using a structural model of periodic EAs, I show that earnings horizon is not captured by standard empirical measures of earnings informativeness or timeliness based on the event-study approach. However, earnings horizon can be estimated using patterns in return volatility over firms’ reporting cycles, which indicate that EAs have a short horizon and thus reduce investor uncertainty by one-third the amount suggested by event studies. Moreover, these patterns indicate that it takes investors considerably longer than the three- to five-day windows commonly applied in event studies to fully process EAs and that more frequent financial reporting may significantly enhance EAs’ informativeness. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: C58; D82; D84; G10; G12; G14; G30.