Earnings Announcement Informativeness and Expected Stock Returns

Yu Cai, Renhui Fu, Sie Ting Lau, Huifang Yin, School of Economics and Management, Laboratory of High Quality Urban Development and Strategic Decision, Tongji University, Antai College of Economics and Management, Shanghai Jiaotong University, Nanyang Business School, Nanyang Technological University, Institute of Accounting and Finance, Dishui Lake Advanced Finance Institute, Shanghai University of Finance and Economics

Journal of Accounting, Auditing & Finance

Published online on June 05, 2026

Abstract

Journal of Accounting, Auditing & Finance, Ahead of Print.
Earnings announcement returns tend to be volatile when a significant amount of information remains unknown to investors prior to the announcement. The informativeness of earnings announcements—measured by the return volatility during the announcement ...