Joshua Livnat, New York University Stern
Li Zhang, Rutgers Business School
Wall Street Horizon Abstract
With Wall Street Horizon as the primary source of data for this study, the authors show that abnormal returns can be realized when tracking schedule earnings release dates. With a hedged strategy of long earnings date advancers and short delayers, the authors calculate a return of 256 bps from two days after the status change to 90 days after the earnings announcement date.
Firms that advance their earnings announcements by four or more days exhibit positive earnings surprises, while firms that delay earnings announcements after previously announcing their release date are more likely to have negative earnings surprises. The authors suggest that companies delay their announcement date due to negative events.
Livnat and Zhang identified a profitable trading strategy around the timing of earnings release dates. These findings are relevant for investors that seek arbitrage opportunities and researchers that monitor earnings announcement schedules. Livnat and Zhang believe that delayed earnings announcement dates should be interpreted by analysts as red flags, identifying sell or short candidates.
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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.