Earnings Announcement Informativeness and Expected Stock Returns
研究发现，盈余公告期间相对于公告前的收益波动越大，即信息含量越高，预期股票收益也越高，该效应在年轻公司、高波动公司及投资者风险厌恶时期更显著。
Earnings announcement returns tend to be volatile when a significant amount of information remains unknown to investors prior to the announcement. The informativeness of earnings announcements—measured by the return volatility during the announcement period relative to the pre-announcement period—reflects the extent of information not publicly disclosed ex ante. Consistent with the view that information plays a crucial role in stock pricing, we find a positive correlation between the informativeness of earnings announcements and expected stock returns in the U.S. market from 1977 to 2022. This effect is more pronounced among younger firms, firms with higher return volatility, and during periods of heightened investor risk aversion. Additionally, we find supporting evidence that reductions in information supply, driven by Regulation FD, lead to higher expected stock returns.