TY - JOUR
T1 - Estimating the Precision of Information on Earnings and Non-earnings Announcement Days, and Its Relation with the Cost of Equity
AU - Amir, Eli
AU - Levi, Shai
N1 - Publisher Copyright:
© 2018, © 2018 European Accounting Association.
PY - 2019/3/15
Y1 - 2019/3/15
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85045443581&partnerID=8YFLogxK
U2 - 10.1080/09638180.2018.1461119
DO - 10.1080/09638180.2018.1461119
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AN - SCOPUS:85045443581
SN - 0963-8180
VL - 28
SP - 223
EP - 248
JO - European Accounting Review
JF - European Accounting Review
IS - 2
ER -