Prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry. We document a stock market anomaly associated with this phenomenon of intra‐industry information transfers by showing that the stock price movements of late announcers in response to earnings reported by early announcers are negatively related to subsequent price responses of late announcers to their own earnings reports. Apparently, the stock market overestimates the intra‐industry implications of early announcers' earnings for late announcers' earnings, and that overestimation is corrected when late announcers disclose their earnings.

We investigate the joint hypothesis that (1) tax expense contains information about core profitability that is incremental to reported earnings and (2) that information is reflected in stock prices with a delay. We find that seasonally differenced quarterly tax expense, our proxy for tax expense surprise, is related positively to future returns. This anomaly is separate from previously documented pricing anomalies based on financial and tax variables. Additional investigation reveals that tax expense surprise is related positively to changes in future quarterly earnings and tax expense, and both those future changes are related positively to future returns. While the returns to investing in predictable future earnings changes has been documented before, these results suggest that predicting changes in future tax expense also generates incremental future returns.

Companies’ earnings conference calls are perceived to be venues for sell‐side equity analysts to ask management questions. In this study, we examine another important conference call participant—the buy‐side analyst—that has been underexplored in the literature due to data limitations. Using a large sample of transcripts, we identify 3,834 buy‐side analysts from 701 institutional investment firms who participated (i.e., asked a question) in 13,332 conference calls to examine the determinants and implications of their participation. Buy‐side analysts are more likely to participate when sell‐side analyst coverage is low and dispersion in sell‐side earnings forecasts is high, consistent with buy‐side analysts participating when a company's information environment is poor. Institutional investors trade more of a company's stock in the quarters in which their buy‐side analysts participate in the call. Finally, we find evidence that buy‐side analyst participation is associated with company‐level absolute changes in future stock price, trading volume, institutional ownership, and short interest.