Good News, Bad News, and the Intraday Timing of Corporate Disclosures

This study examines firms' behavior with respect to the systematic intraday timing of earnings and dividend announcements. In particular, it tests the hypothesis that good news is more likely to be released when the security markets are open while bad news appears more frequently after the close of trading. Both endogenous (stock price change) and exogenous (comparison to the preceding period's earnings or dividends) classifications are used to distinguish good news from bad, and both forms support the "good news during, bad news after" hypothesis. An information content analysis using daily stock price data is then performed to illustrate how differences in disclosure timing may affect inferences about the magnitude of stock price response, announcement anticipation or news leakage, and the speed of price adjustment.