... a structural model of periodic EAs, I show that earnings horizon is not captured by standard empirical measures of earnings informativeness or timeliness based on the event-study approach. However, earnings horizon can be estimated using patterns in return volatility over firms’ reporting cycles, which...

... 2009 February 2012 2012 investor sentiment corporate news event studies behavioral finance In this paper, we examine the impact of investors' behavioral biases, measured by market sentiment, on the sensitivity of stock prices to earnings...