Expected Reporting Speeds: Information in Firms’ Relative and Aggregate Behavior

Existing studies show that intra-firm variation in earnings announcement speeds correlates with earnings news, such that firms are more likely to decrease (increase) the speed of announcing bad (good) earnings news relative to their fiscal period end. We examine firms’ “expected abnormal reporting speeds” not just in relation to their own past behaviors, but also in relation to other firms announcing in the same month. Relative expected abnormal reporting speeds predict future earnings realizations and stock returns not only for firms that deviate from their own historic reporting patterns, but also for the supermajority of firms that elect not to alter their reporting speeds. These results suggest that a firm’s choice not to change its reporting speeds is informative when viewed relative to the behavior of other firms. Further, aggregating firms’ month-end expected abnormal reporting speeds indicates that relative changes do not offset one another, but rather give rise to predictable changes in aggregate earnings news, treasury spreads, and market uncertainty. JEL Classifications: G10, G11, G12, G14, M40, M41 ⇤We thank Wall Street Horizon for generously providing data on expected earnings announcement dates. Contact emails: Ed deHaan, [email protected] and Eric So, [email protected] Expected Reporting Speeds 1