The literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these firm fundamentals have come to explain more price movement over time. In the years after 2003, earnings announcement returns explain roughly 20% of the annual return—almost twice as much as they did before, indicating that fundamental information has become more important, not less, in explaining stock returns. This pattern occurs for other forms of firm fundamental information. Collectively, the returns around earnings announcements, management guidance, analyst forecasts, analyst recommendations, and 8-K filings went from explaining 17% of annual returns on average in the late 1990s to 39% on average in the early 2010s. In exploring possible explanations for the increase in the explanatory power of fundamental information, we find evidence consistent with regulatory changes, such as new 8-K filing requirements and Sarbanes-Oxley, collectively making disclosures more informative.

文献表明，收益已经可以解释股票价格随着时间的推移而减少的趋势，这表明牢固的基本信息已变得不那么重要。在本文中，我们用收益公告收益代替收益来衡量公司基本面新闻，并发现这些公司基本面已经可以解释随着时间的推移价格的更多波动。在2003年之后的几年中，收益公告收益大约解释了年度收益的20％，几乎是以前的两倍，这表明基本信息在解释股票收益方面变得越来越重要。这种模式在其他形式的公司基本信息中也会出现。总的来说，收益公布，管理指南，分析师预测，分析师建议，8K档案从解释1990年代后期平均每年回报的17％到2010年代初平均39％的解释。在探索基本信息的解释力增强的可能解释时，我们发现与法规变更相符的证据，例如新的8-K归档要求和Sarbanes-Oxley，共同使披露内容更具信息性。