Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Xuan Duong, Stanimir Markov, Eng Joo Tan
How Important Are Earnings Announcements As An Information Source?, Sudipta Basu, Truong Xuan Duong, Stanimir Markov, Eng Joo Tan
Research Collection Lee Kong Chian School Of Business
In a competitive information market, a single information source can only dominate other sources individually, not collectively. We explore whether earnings announcements constitute such a dominant source using Ball and Shivakumar's (2008) [How much new information is there in earnings?, Journal of Accounting Research, 2008, 46(5), pp. 975–1016] R 2 metric: the proportion of the variation in annual returns explained by the four quarterly earnings announcement returns. We find that the earnings announcement days' R 2 is 11% – higher than the corresponding R 2 of days with dividend announcements, management forecasts, preannouncements, and 10-K and 10-Q filings and …