FREE TRIAL BLOG Follow Wall Street Horizon on Twitter Connect with Wallstreet Horizon on Linked In
Wallstreet Horizon logo MENU
  • About Us
    • Company Overview
    • Partners
    • Join Our Team
  • Differentiators
  • Products
    • Enchilada (for Investing & Trading)
      • Enchilada API
    • Enchilada (for Investor Relations)
    • Corporate Event Calendars
    • Corporate Event Monitors
    • Corporate Event Forecasts
    • Corporate Event History
  • News
    • Press Releases
    • Events
    • WSH in the News
    • Independent Academic Research
    • Blog
  • Contact
    • Free Trial
    • Request Information
    • Academic Request
    • Soft Dollar Payment Option

Volatility and the Timing of Earnings Announcements

Authors: Matthew R. Lyle, Christopher Rigsby, Andy Stephan and Teri Lombardi Yohn

Wall Street Horizon Abstract
Approximately 95% of publicly traded firms announce earnings outside of regular trading hours, either pre- or post-market.  The authors examine whether the timing of the announcement affects how quickly equity investors process the earnings information, as proxied by volatility.  The study uses Wall Street Horizon data and finds that firms announcing earnings farther from regular trading hours and in the pre-open have higher abnormal volatility following the announcement relative to firms that announce in the post-close.  This volatility difference persists for at least three trading days following an earnings announcement. It cannot be explained by common determinants of volatility such as firm size, profitability, volume, earnings surprises, stock returns, or historical volatility, and is not driven by strategic announcement timing. The research suggests that option trading strategies based on pre-open versus post-close announcers yield economically large returns, whereas trading strategies using equities yield economically insignificant returns.

Download paper

Are you an academic interested in Wall Street Horizon data?  Please contact us.

Note:  While the academics listed made extensive use of Wall Street Horizon corporate events data, please note Wall Street Horizon does not sponsor academic research; all papers are conducted independently by the researchers and their teams at their respective organizations.

  • About Us
  • Differentiators
  • Products
  • News
  • Contact
©2018 Wall Street Horizon, Inc. All rights reserved. System Status