We develop and test explanations for sources of intertemporal variation in the information content of aggregate earnings and how that variation explains variation in the relation between aggregate earnings growth and market returns over time. We find that the correlation between aggregate...

This study examines whether firm-level earnings announcements aggregated on a given trading day are a timely, incremental source of macroeconomic information relative to numerous competing sources of regularly-released macroeconomic information. Using an exponential GARCH model for both the...

We investigate the effect of shocks to firms’ cost of capital on firms’ disclosure decisions. Specifically, we examine the extent to which firms issue Form 8-Ks and/or press releases following unexpected changes to the Fed funds rate. We find consistent evidence that unexpected decreases in...

We study the economic determinants of the information externality suppliers experience at the time of their customers' quarterly earnings announcements (QEAs). We measure the information externality as suppliers' stock price reaction to their customers' QEAs. We expect information externalities...