We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about ...

This study identifies the predictors of positive earnings surprises at varying levels of earnings surprises under strong and weak business conditions (2014 and 2010, respectively). It measures the impact on surprises of a unique and diverse set of predictors such as analyst coverage and industry type which are security characteristics and sales and cash flow that emanate from financial statemen...

Consistent with prior evidence about greater persistence of revenues and greater noise caused by heterogeneity of expenses, this study shows that the post-earningsannouncement-drift is stronger when the revenue surprise is in the same direction as the earnings surprise. The results of the study are consistent for the earnings and revenue surprise estimated from historical time series and also f...

We explore how the internal use of non-GAAP performance metrics in compensation contracting relates to the disclosure of non-GAAP earnings to external stakeholders. Ex ante, it is unclear why information useful in contracting would be informative for valuation purposes unless a firm’s compensation and financial disclosure processes are related. We explore this relation using a large hand-collec...