Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 15, 2021 erstellt
Description:
Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or M&A announcements. Moreover, the higher returns are realized mostly around the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors adjust stock valuation in response to significant information events. We provide additional evidence to substantiate the conjecture based on the effects of information updates and investor information consumption