Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades
Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades
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DOI：
10.1111/1475-679x.00071
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发表时间：
2002-06
影响因子：
4.4
通讯作者：
W. Landsman;Edward L. Maydew
中科院分区：
文献类型：
--
作者：
W. Landsman;Edward L. Maydew
本文使用 Beaver [1968] 的两个指标来研究过去三十年收益信息内容的变化：异常交易量和异常回报波动性。从异常交易量和季度收益公告的回报波动率来衡量，我们没有发现过去三十年收益公告的信息内容有所下降的证据。如果说有什么不同的话，那就是我们的结果表明，季度收益公告的信息量随着时间的推移而增加。反映公司特定因素变化的变量占观察到的增长的一部分。
This paper examines changes in the information content of earnings over the past three decades using the two metrics from Beaver [1968]: abnormal trading volume and abnormal return volatility. We find no evidence of a decline in the information content of earnings announcements over the past three decades, as measured by both abnormal trading volume and return volatility around quarterly earnings announcements. If anything, our results suggest an increase over time in the informativeness of quarterly earnings announcements. Variables reflecting changes in firm‐specific factors account for a portion of the observed increase.