• Earnings Announcement Premium: Evidence from the XBRL Mandate

      Hasan, Mohammad Maruf; Faculty of Business Programs
      In 2009, the SEC implemented the eXtensible Business Reporting Language (XBRL) filings of company reports to facilitate better analysis and interpretation of financial statements. In this study, I analyze whether the XBRL filings has an impact on the earnings announcement premium of the three different sizes (tiers) of XBRL firms. In cross-sectional analysis, I find that there has been a significant increase in the earnings announcement premium for the larger and medium firms in the post-XBRL period, whereas the change in announcement premium for the smaller firms is not significant. I also find that in the post-XBRL period, there has been an increase in abnormal idiosyncratic volatility and abnormal volume for all the three different tiers of firms. Results indicate that announcement premium may have increased as a result of an increase in information asymmetry between the larger and smaller firms in the post-XBRL period as documented by Blankespoor et al. (2014).