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...

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 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...