First Come First Disserved
Joseph Cerniglia and Joshua Livnat
Volume 6, Number 2, Second Quarter 2008
This study investigates whether stock market reactions to earnings information of ﬁrms that release their earnings close to quarter-end (Early) are systematically different from their industry peers which report later during the quarter (Late). Unexpectedly, we ﬁnd that immediate market reactions to early reporters are weaker than those to late or middle reporters. We also ﬁnd that stock market returns subsequent to the earnings announcements are stronger for positive earnings surprises of early reporters than late reporters, indicating that the market systematically under reacts to the positive surprises of early reporters. These results have implications for investors who can use this systematic under reaction in their trading strategies and academics who can understand better how market participants gather and process earnings information.