We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement line items are more frequently bundled with earnings announcements, and each of these items explains part of the increase in market response. Furthermore, collectively, these concurrent information releases explain a substantial fraction of the increase in market response to earnings announcements since 2001. This is in contrast to the decline in market response to management guidance issued separately from earnings and the much smaller increase in market response to analyst forecasts issued separately from earnings over this time. The findings indicate that information arrival at earnings announcement dates has increased significantly over the past two decades, and that key components of this are increased disclosures by management of guidance and financial statement line items and forecasts by analysts. • There has been a striking increase in the market response to quarterly earnings announcements from 2001 to 2016. • Management guidance, analyst forecasts and financial statement line items are each increasingly disclosed with earnings announcements over this time. • Each of these concurrent information items has significant explanatory power for the increase in market response. • In contrast, the market response to management guidance and analyst forecasts issued separately from earnings announcements shows no similar increase, consistent with earnings announcements playing an increasingly important informational role for investors.
