The Disappearing Earnings Announcement Premium

The earnings announcement premium, whereby a stock earns abnormal returns over its earnings announcement period, has been the subject of extensive research. We provide the first evidence that this premium has disappeared in the US in recent years. We show that increased filings of material information (Form 8-K) due to a regulatory change is responsible for this disappearance. Information traditionally contained in earnings announcements is now preempted by 8-K filings, and the announcement premium has shifted to 8-K filing dates. Our results are consistent with an information uncertainty resolution, rather than a behavioral attention-based, explanation for the premium.