This study examines whether information revealed by firms’ earnings announcements (EAs) forecasts short-run market-wide volatility in equity index prices. Using an exponential generalized autoregressive conditional heteroskedasticity model that includes controls for the information in an array of macroeconomic announcements, we find that EA information aggregated across firms forecasts market volatility at daily and weekly intervals. EA information’s forecasting power is greatest when more firms announce earnings on a given day, when EAs convey negative news, and for EA information about core earnings. Out-of-sample tests confirm that forecasts incorporating EA information better predict short-run market volatility than forecasts omitting EA information. We conclude that firm-level EAs are a significant source of systematic, market-wide information relevant for predicting near-term market volatility. Data Availability: All data are publicly available from sources cited in the text.

There is limited evidence about when, why, and which individuals incur costs to acquire nonpublic information about a firm, largely due to the difficulty of observing private information acquisition. To overcome this difficulty, we obtain data on Freedom of Information Act (FOIA) requests submitted to the Securities and Exchange Commission (SEC). We predict and find that perceived information asymmetry between managers and outsiders resulting from both proprietary and agency costs triggers FOIA search. We categorize organizations making FOIA requests using their business descriptions and find that many, including law and intellectual property firms, are not expressly interested in obtaining information for near-term equity trading. Instead, their search activity relates to determinants beyond financial characteristics, including patent litigation and executive turnover. Taken together, we provide evidence on private information search by a relatively unexamined set of organizations and shed new light on the function of the SEC’s Office of FOIA Services.