http://ac.els-cdn.com/S0165410115000312/1-s2.0-S0165410115000312-main.pdf?_tid=7b0c6c92-e274-11e4-b145-00000aacb35e&acdnat=1428995243_88868503ca92042acd1d3c8e73351d13

Journal of Accounting and Economics Volume 60, Issue 1, August 2015, Pages 36–55

Market (in)attention and the strategic scheduling and timing of earnings announcements 

Ed deHaan^a, , Terry Shevlin^b, , ,  Jacob Thornock^c, 

Abstract

We investigate whether managers “hide” bad news by announcing earnings during periods of low attention, or by providing less forewarning of an upcoming earnings announcement. Our findings are consistent with managers reporting bad news after market hours, on busy days, and with less advance notice, and with earnings receiving less attention in these settings. Paradoxically, our findings indicate that managers also report bad news on Fridays, but we do not find lower attention on Fridays. Further, we find negative returns when the market is notified of an upcoming Friday earnings announcement, which is consistent with investors inferring forthcoming bad news.