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Our evidence suggests strategic timing of earnings release and discretionary reporting in response to relative performance evaluation.
Second, I posit that time should also be related to the market's propensity to use analyst forecasts to form earnings expectations.
This finding suggests that information diffusion is not instantaneous with the release of the earnings information, but rather is spread over a period surrounding the announcement.
This finding could explain why Spanish firms prefer to release the bad (good) earnings announcement in trading (non-trading) hours.
It then shows that recent theoretical developments in the construction of earnings-based valuation models incorporating the time series properties of earnings have provided an important new impetus to the time series modelling of earnings.