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Estimating the Precision of Information on Earnings and Non-earnings Announcement Days, and Its Relation with the Cost of Equity

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  • Eli Amir
  • Shai Levi

Abstract

Using daily stock returns, we estimate the precision of information during earnings and non-earnings announcement days, and find that although the precision of information in daily stock returns increases during earnings announcement days, it explains less of the variation in expected returns than the precision of information on non-earnings announcement days. Our findings suggest that the precision of earnings disclosures has a small effect on the cost of equity relative to the precision of information on other days of the year.

Suggested Citation

  • Eli Amir & Shai Levi, 2019. "Estimating the Precision of Information on Earnings and Non-earnings Announcement Days, and Its Relation with the Cost of Equity," European Accounting Review, Taylor & Francis Journals, vol. 28(2), pages 223-248, March.
    • Handle: RePEc:taf:euract:v:28:y:2019:i:2:p:223-248
    DOI: 10.1080/09638180.2018.1461119
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    Cited by:

    1. Samuel C. A. Pereira, 2021. "On the precision of information," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 30(3), pages 569-584, August.

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