Estimating the Precision of Information on Earnings and Non-earnings Announcement Days, and Its Relation with the Cost of Equity

Eli Amir, Shai Levi*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

Using daily stock returns, we estimate the precision of information during earnings and non-earnings announcement days, and find that although the precision of information in daily stock returns increases during earnings announcement days, it explains less of the variation in expected returns than the precision of information on non-earnings announcement days. Our findings suggest that the precision of earnings disclosures has a small effect on the cost of equity relative to the precision of information on other days of the year.

Original languageEnglish
Pages (from-to)223-248
Number of pages26
JournalEuropean Accounting Review
Volume28
Issue number2
DOIs
StatePublished - 15 Mar 2019

Funding

FundersFunder number
Baruch College, Hebrew University
Henry Crown Center for Business Research
Penn State University, University of Exeter
University of Oulu and Rutgers University
University of California, Los Angeles
Tel Aviv University
Higher Education Commission, Pakistan

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