Abstract
We show that the stock market regularly and systematically receives information about company fundamentals through month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns exhibit a post-monthly-announcement drift. Time series market momentum exists only when conditioning on past first-half month return, and is stronger when the past market-wide earnings surprise is bigger.
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