The flow of earnings information to the market.

摘要

Prior to a firm's earnings announcement, the capital market receives earnings-relevant information from a wide array of sources. As such, the collective timeliness of the flow of earnings information to the market has large implications for the price path of a firm's stock. Despite this, our understanding of the timeliness of the flow of earnings information to the market and its economic determinants is limited, in part because prior work has focused on the timeliness of specific sources of information rather than the collective whole. In this study, I create a measure of the timeliness of the total earnings information flow -- inspired by the price discovery literature -- that captures how quickly the daily consensus analyst earnings forecast approaches the actual earnings as the quarter unfolds. I document wide within-firm variation in the timeliness of the earnings information flow and show that it is associated with the direction and magnitude of the news. Specifically, I show that the earnings information flow is significantly more timely for bad news than for good news. Perhaps more importantly, I show that while bad news becomes less timely as the magnitude of the earnings news increases, good news becomes more timely. This result is in direct contrast to the commonly cited litigation explanation for timelier bad news and is more consistent with a scenario where managers face a tradeoff between current stock price implications and future reporting reputation benefits.