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

Research output: Contribution to journalArticlepeer-review

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

Fingerprint

Dive into the research topics of 'Estimating the Precision of Information on Earnings and Non-earnings Announcement Days, and Its Relation with the Cost of Equity'. Together they form a unique fingerprint.

Cite this