Journal of Accounting and Economics · Volume: 62 Issue:1 · AUG 2016

关于盈余消息的择时策略的进一步证据：工作日与日内时间点的联合分析

作者：Roni Michaelyab(Johnson Graduate School of Management, Cornell University; Interdisciplinary Center);

Amir Rubinbc(Interdisciplinary Center; Beedie School of Business, Simon Fraser University);

Alexander Vedrashko(Beedie School of Business, Simon Fraser University)

摘要：我们利用日内(交易之前、期间和之后)以及工作日的盈余公告来研究管理者是否试图对盈余消息进行战略性的择时发布。我们发现在周五晚上公布盈余消息的是最糟糕的，并找到稳健的证据表明，只有周五晚间的公告代表了管理者的理性机会主义行为。周五晚间发布公告之后，会产生盈余消息方向的内幕交易以及最大的盈余公告后价格漂移。管理人员试图减少与投资者的这一互动，并且试图在周五晚上的公告中隐藏包括收益消息在内的消息。我们发现，周五晚间公告会比其他晚上公告发布的更晚，公司会降低召开电话会议的倾向，星期五晚间发布后更有可能发生重大的公司重组事件。

关键词：盈利宣告，时机，星期五晚上，疏忽，隐藏消息，盈余消息后价格漂移

Further evidence on the strategic timing of earnings news: Joint analysis of weekdays and times of day

Roni Michaelyab(Johnson Graduate School of Management, Cornell University; Interdisciplinary Center)Amir Rubinbc(Interdisciplinary Center; Beedie School of Business, Simon Fraser University) Alexander Vedrashko(Beedie School of Business, Simon Fraser University)

ABSTRACT

Using combinations of weekdays and times of day (before, during, and after trading hours) of earnings announcements, we examine whether managers attempt to strategically time these announcements. We document that the worst earnings news is announced on Friday evening and find robust evidence that only Friday evening announcements represent managers’ rational opportunistic behavior. Friday evening announcements are followed by insider trading in the direction of earnings news and the largest post-earnings announcement drift. Managers also attempt to reduce interaction with investors and hide more than just earnings news by announcing on Friday evening. We find that Friday evening announcements occur later in the evening than announcements on other evenings, firms have a reduced propensity to hold conference calls, and major firm restructuring events are relatively more likely to occur after Friday evening announcements.

Keywords: Earnings announcements, Timing, Friday evening, Inattention, Hiding news, Post-earnings announcement drift

原文链接：

http://www.sciencedirect.com/science/article/pii/S0165410116300052

翻译：张展