Time Will Tell : Information in the Timing of Scheduled Earnings News

Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to `volatility-timing' information embedded in the same scheduling disclosures, we provide novel evidence markets fail to react to information about future earnings despite investors immediately trading on the underlying signal