How Much New Information is There in Earnings?
How Much New Information is There in Earnings?
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DOI：
10.1111/j.1475-679x.2008.00299.x
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发表时间：
2008-07
期刊：
影响因子：
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通讯作者：
R. Ball;Lakshmanan Shivakumar
中科院分区：
文献类型：
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作者：
R. Ball;Lakshmanan Shivakumar
我们量化了盈利公告在向股票市场提供新信息方面的相对重要性，使用R2回归证券的日历年回报率，对四个季度的盈利公告“窗口”回报率进行回归。R2平均约为5%至9%，衡量的是每年股价中与盈利公告相关的总信息的比例。我们的结论是，平均季度公告与年度总信息的约1%至2%相关，从而为市场提供了适度但并非压倒性的增量信息。这一结果与报告盈利的主要经济作用不是向股票市场提供及时的新信息的观点是一致的。由此推断，这一作用存在于其他方面，例如，解决债务和补偿合同以及规范先前的信息，包括管理层更及时地披露源自公司会计制度的信息。盈余公告的相对信息含量是公司规模的凹函数。近年来，盈利公告窗口期间信息的增加部分是由于管理层预测的同时发布增加。没有证据表明在收益公布的几周内出现了异常信息。在盈利公告之前（而不是之后），管理层预测和分析师预测修正中发布了大量信息。
We quantify the relative importance of earnings announcements in providing new information to the share market, using the R2 in a regression of securities' calendar‐year returns on their four quarterly earnings‐announcement “window” returns. The R2, which averages approximately 5% to 9%, measures the proportion of total information incorporated in share prices annually that is associated with earnings announcements. We conclude that the average quarterly announcement is associated with approximately 1% to 2% of total annual information, thus providing a modest but not overwhelming amount of incremental information to the market. The results are consistent with the view that the primary economic role of reported earnings is not to provide timely new information to the share market. By inference, that role lies elsewhere, for example, in settling debt and compensation contracts and in disciplining prior information, including more timely managerial disclosures of information originating in the firm's accounting system. The relative informativeness of earnings announcements is a concave function of size. Increased information during earnings‐announcement windows in recent years is due only in part to increased concurrent releases of management forecasts. There is no evidence of abnormal information arrival in the weeks surrounding earnings announcements. Substantial information is released in management forecasts and in analyst forecast revisions prior (but not subsequent) to earnings announcements.