Abstract
We contribute to the extensive literature on the relationship between earnings announcements and market reactions by investigating the European insurance sector, which presents a wide difference in transparency between quarterly and semi-annual/annual reports. We design an event-study analysis comprising over 900 events in the period 2009-2016, testing if investors react differently to the two subsets of reports. We find that quarterly reports result in signals on stock prices limited to few trading days, whereas semi-annual and annual reports produce bigger and more persistent impacts. Instead, we do not find evidence of differences impacting trading volumes. Our results are supportive of the recent EU decision to remove the obligation to publish quarterly reports to avoid short-termism and suggest that costs are greater than benefits for companies considering to adopt voluntary quarterly reports.
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