Working Paper: NBER ID: w22366
Authors: Kenneth Froot; Namho Kang; Gideon Ozik; Ronnie Sadka
Abstract: We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain information from both the earnings quarter (“within quarter”) and the period between that quarter’s end and the earnings announcement date (“post quarter”). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises, and earnings surprises, generating average excess returns at announcement of 3.4%. However, surprisingly, our post-quarter measure is related negatively to announcement returns, and positively to post-announcement returns. When post-quarter private information is directionally strong, managers, at announcement, provide guidance and use language that points statistically in the opposite direction. This effect is more pronounced when, post-announcement, management insiders trade. We conclude managers do not fully disclose their private information and instead message to shareholders and analysts something of opposite sign. The data suggest they may be motivated in part by subsequent personal stock-trading opportunities.
Keywords: real-time corporate sales; earnings surprises; post-announcement returns
JEL Codes: G0
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| post-quarter RTCS (C22) | announcement returns (E60) |
| post-quarter RTCS (C22) | post-announcement returns (G14) |
| within-quarter RTCS (C22) | quarterly revenue growth (O00) |
| within-quarter RTCS (C22) | revenue surprises (H27) |
| within-quarter RTCS (C22) | earnings surprises (G14) |
| managerial disclosures (G38) | post-quarter RTCS (C22) |
| discretionary accruals (D25) | post-quarter RTCS (C22) |
| guidance (Y20) | post-quarter RTCS (C22) |
| conference call tone (L96) | post-quarter RTCS (C22) |