Anticipated Earnings Announcements and the

Customer-Supplier Anomaly
Joshua Madsen
November 2, 2016

Abstract

I test whether the anticipation of earnings news stimulates acquisition of customer

information and mitigates returns to the customer-supplier anomaly documented by
Cohen and Frazzini (2008). I find that attention to a firms publicly disclosed cus-
tomers increases shortly before the firm announces earnings, and that customer stock
returns predict supplier stock returns shortly before, but not after, the suppliers earn-
ings announcement. I further find some evidence that these predictable returns are
increasing in the level of customer information acquisition. These results are unique
to anticipated disclosure events and suggest that anticipation of supplier earnings an-
nouncements resolves investor limited attention to customer information and acceler-
ates price discovery of customer news.

JEL classification: M41, G11, G14

Keywords: Customer-supplier anomaly, investor limited attention, anticipated earnings
announcements

Accepted by David F. Larker. This paper is based on my dissertation at the University of Chicago.
I am grateful for the comments of my dissertation committee: Douglas Skinner (chair), Ray Ball, Philip
Berger, and Toby Moskowitz, as well as comments from an anonymous referee, Ryan Ball, Andy Bod-
meier, Hans Christensen, Ted Christensen, Steve Crawford, Michael Drake, Vivian Fang, Pingyang Gao,
Frank Gigler, Joao Granja, Michael Iselin, Mo Khan, Christian Leuz, Jeff McMullin, Michael Minnis, Valeri
Nikolaev, Marina Niessner, Shail Pandit, Spencer Pierce, Jake Thornock, Richard Willis, Regina Wittenberg-
Moerman, and seminar participants at the following universities: Chicago, UT Dallas, DePaul, Vanderbilt,
Minnesota, Waterloo, Temple, Illinois, and the 2013 BYU Accounting Research Symposium. Financial sup-
port provided by the University of Minnesota. An Online Appendix to this paper can be downloaded at
http://research.chicagobooth.edu/arc/journal-of-accounting-research/online-supplements.

jmmadsen@umn.edu Correspondence: 3-122 Carlson School of Management, University of Minnesota,
321 19th Ave South, Minneapolis MN 55455
1 Introduction

Cohen and Frazzini (2008) (CF) present evidence that the stock returns in month t of a
firms publicly disclosed customers predict the firms stock return in month t + 1 (customer-
supplier anomaly). SEC filers are required to disclose the names of material customers
which represent 10% or more of total sales,1 and thus evidence that prices adjust with a
lag to information about customers is consistent with investor limited attention to material
customer information. The primary objective of this study is to test whether the antici-
pation of a suppliers scheduled disclosure stimulates acquisition of customer information
and attenuates market inefficiencies related to the customer-supplier anomaly (anticipation
hypothesis).
To test the anticipation hypothesis I examine customer information acquisition and price
discovery before a suppliers earnings announcement. Earnings announcements are a con-
venient setting to test the anticipation hypothesis because they occur every quarter, are
typically scheduled in advance, and generate significant price and volume reactions (see
Kothari (2001)). Investors thus have incentives to acquire information prior to these sched-
uled disclosures (Kim and Verrecchia (1991); McNichols and Trueman (1994)). However, this
search for information need not be restricted to the firm itself. If attention to the announc-
ing firms customers also increases before these announcements, then the resulting improved
price discovery could mitigate returns to the customer-supplier anomaly documented by CF.
I use two primary tests to provide evidence that anticipation of supplier earnings an-
nouncements (1) stimulates acquisition of customer information and (2) improves price dis-
covery of customer news and attenuates market inefficiencies related to investor limited atten-
tion. I first examine variation in customer information acquisition around suppliers earnings
announcements. Although I do not know specifically who acquires the customer information,
increased acquisition of customer information before a suppliers earnings announcement

1
See ASC 280-10-50-41 and SEC Regulation S-K section 101.

1
would suggest that the scheduled nature of these events elicits increased attention to cus-
tomers by the suppliers investors. Second, I examine whether news about a firms customers
is priced immediately before the firms earnings announcement. Specifically, I test whether
customer news predicts the suppliers pre-announcement and/or post-announcement returns.
Predictable pre-announcement returns would suggest that information acquisition prior to
anticipated earnings announcements resolves investors limited attention to customer infor-
mation and improves price discovery. A pattern of predictable pre-announcement returns
and insignificant post-announcement returns would further suggest that the anticipation of
supplier earnings announcements attenuates returns to the customer-supplier anomaly.
My results provide support for the anticipation hypothesis. For the first test I use daily
Google search volume index (SVI) for customer tickers and daily downloads of customer
filings from the SECs EDGAR database as measures of customer information acquisition.
I document significant spikes in customer information acquisition before suppliers earnings
announcement dates, suggesting increased attention to customers by the suppliers investors.
For the second second test I use a 60-day (i.e., approximately one quarter) sales-weighted
customer return as a measure of customer news. Analyzing a large sample of supplier
earnings announcement dates between 1990 and 2014, I find that customer news predicts
suppliers three-day pre-announcement returns, but fails to predict suppliers three-day post-
announcement returns. The pre-announcement returns are statistically greater than post-
announcement returns, robust to various research design specifications, and suggest that
increased information acquisition before anticipated disclosures resolves limited attention to
customer information and improves price discovery.
The anticipation hypothesis emphasizes the effects of anticipated disclosures on customer
information acquisition and price discovery. To test this hypothesis, I exploit the scheduled
and recurring nature of earnings announcements. To gauge whether the effects I document
are specific to anticipated supplier earnings announcements, I perform robustness tests using

2
two less-anticipated supplier events: unbundled management forecasts and pseudo events.2
Results using these alternative, less-anticipated events are either insignificant or of reduced
magnitude relative to results using supplier earnings announcements, providing additional
evidence that the increased customer information acquisition and price discovery are driven
by the anticipated nature of earnings announcements.
My two primary analyses suggest that customer information acquisition increases before
supplier earnings announcements and that customer returns predict supplier pre-announcement
returns, but not post-announcement returns. If the increased acquisition of customer infor-
mation is driving the predictable pre-announcement returns, then these predictable returns
should be increasing in the level of customer information acquisition. I therefore attempt
to directly link these two primary tests and examine whether the acquisition of customer
information facilitates the pricing of customer information in the suppliers share price. Data
availability restrict these tests to less than one-third of the earnings announcement sample.
Despite this reduction in sample size, I find some evidence that the suppliers predictable
pre-announcement returns are increasing in the level of Google SVI for customers tickers
and EDGAR downloads of customers SEC filings.
My analysis of earnings announcement returns is motivated by the prediction that at-
tention to customers increases prior to these scheduled and anticipated events. In my final
analysis I provide a link between these earnings-announcement event-time analyses and the
calendar-time analysis of customer-supplier returns by CF. At the beginning of each month
I rank all firms into quintiles according to the return of their customers at the end of the
previous month. Consistent with the customer-supplier anomaly documented by CF, I find
that supplier monthly returns are increasing across these customer return quintiles, and
that a long-short hedge portfolio generates significant abnormal monthly returns. Follow-
ing the methodology in Frazzini and Lamont (2007), I next form separate long-short hedge

2
Pseudo events are defined as the non-earnings announcement date each quarter with the maximum absolute
return and above average trading volume.

3
portfolios for firms that announced (did not announce) earnings in the previous month. If
increased attention to customers before supplier earnings announcements mitigates returns
to the customer-supplier anomaly, then the returns to the hedge portfolio should be lower
for the sample of firms that announced earnings in the previous month due to the increased
attention to customer information, and greater for the sample of firms that did not announce
earnings in the previous month.
My results are consistent with attenuated returns to the customer-supplier anomaly for
firms that announced earnings in the previous month. For the full sample I document sig-
nificant long-short hedge portfolio abnormal returns of 90.8 basis points per month. After
separating firms by their earnings announcement dates, I document monthly abnormal re-
turns of 101.3 basis points for the sample of firms that did not announce earnings in the
previous month vs. abnormal returns of 69.1 basis points for the sample of firms that an-
nounced earnings in the previous month. This attenuated hedge portfolio return for the
firms that announced earnings is consistent with a greater portion of customer news being
priced in announcement months relative to non-announcement months.
Together, these results support the anticipation hypothesis and contribute to research on
the effects of anticipated disclosures. Prior research finds that earnings announcements trig-
ger increased information acquisition about the announcing firm, and that this information
acquisition occurs both before and after the announcement.3 I extend this literature and find
that anticipation of a firms earnings announcement triggers information acquisition about
the firms customers, which resolves investors limited attention, accelerates price discovery
of customer-related information, and mitigates returns the customer-supplier anomaly.

3
See Kim and Verrecchia (1991); Lee, Mucklow, and Ready (1993); McNichols and Trueman (1994); Amin
and Lee (1997); Christophe, Ferri, and Angel (2004); Hong and Stein (2007); Frazzini and Lamont (2007);
Drake, Roulstone, and Thornock (2012); Drake, Roulstone, and Thornock (2015).

4
2 Data

I use data on disclosed customers from the Compustat segment files. Accounting Standards
Codification (ASC) 280 and its predecessors Statement of Financial Accounting Standards
No. 14 and No. 131 require that firms disclose the total revenues of customers that represent
10% or more of the firms total revenues, and SEC regulation S-K requires that companies
disclose the identity of any material customer which represents 10% or more of the firms
consolidated revenues.4 Compustat extracts customer names from financial filings and I use a
name-matching algorithm to merge these customer names with CRSP and Compustat. Table
1 Panel A details the sample selection criteria. I start with the universe of US common stocks
(CRSP share codes 10 and 11) between 1990 and 2014 for which I can identify a domestic
customer from the Compustat segment file that is also on CRSP and Compustat.5
For the customer-demand tests I create a panel data set of all customer-day observations
with valid Google SVI or EDGAR download data. Daily SVI is only available by searching
within a given month and does not reflect the raw number of searches, but rather the
popularity of the specific search relative to other searches during the same time period. To
make these daily measures comparable across months, I also obtain weekly SVI by searching
across the entire sample period and adjust the daily SVI measures using the following formula
(see Madsen and Niessner (2016)):

SV I = SV Id SV Iw /100 (1)

4
As noted by Ellis, Fee, and Thomas (2012), 28% of firms in their sample disclose the existence of a
material customer, but fail to disclose the customers name. Such nondisclosure suggests that the sample
of disclosed supplier-customer relationships is biased towards larger suppliers in industries with smaller
proprietary costs.
5
The sample begins in 1990 due to limited IBES coverage prior to that date which I use to verify earnings
announcement dates.

5
Following prior research I remove all EDGAR downloads from IP addresses with more than
50 searches in a given day, as these likely reflect downloads by robots (Drake, Roulstone,
and Thornock (2015); Lee, Ma, and Wang (2015)). I take the natural log of Google SVI and
natural log of EDGAR downloads plus 1 to address significant skew in these variables.
To reduce noise in these tests I follow the recommendation of deHaan, Shevlin, and
Thornock (2015) and only use earnings announcement dates where the Compustat and IBES
dates agree. I merge this customer-day panel with the RavenPack News Analytics database
to identify company-specific news days. Finally, I drop all customer-day observations with
no supplier data, requiring that a supplier disclosed the customer at least three but not
more than 15 months earlier to ensure that the supplier-customer relationship was public
knowledge. After these restrictions I have 551,911 customer-day observations between 2005
and 2013 representing 392 unique customers for the Google tests, and 1,022,111 customer-
day observations between 2003 and 2012 representing 650 unique customers for the EDGAR
tests.6
For the supplier earnings announcement tests I start with the universe of earnings an-
nouncement dates between 1990 and 2014 made by a supplier in the Compustat segment
files, where again I require that the Compustat and IBES announcement dates agree. I
drop all events with insufficient data to calculate a customers stock return prior to the
suppliers earnings announcement and all control variables. I require that the customer was
disclosed one to four quarters before the earnings announcement and that the percent of
sales attributed to the customer was also disclosed. These restrictions leave 33,740 supplier
earnings announcement dates representing 2,714 unique suppliers with the necessary data to
test the anticipation hypothesis.
Summary statistics for the sample of customer-supplier relationships are presented in
Table 1 Panel B. This sample contains 12,472 supplier-year observations between 1990 and
2014 with an average supplier market capitalization of $2,260 million, and 7,342 customer-

6
Dates determined by data availability. I thank Marina Niessner for sharing her daily Google data.

6
year observations with an average customer market capitalization of $24,565 million. The
market capitalization of suppliers is on average smaller than the market capitalization of
customers, consistent with evidence in Ellis, Fee, and Thomas (2012) that suppliers are
more likely to disclose larger and more profitable customers. Because firms are required to
disclose their customers, but not their suppliers, the economic nature of these disclosures
suggests that disclosed customers will be more important to their suppliers than the suppliers
will be to their customers, which motivates the focus on information flows from customers
to suppliers. The average supplier in the sample discloses 1.35 customers each year (median
1) and on average 4.2 suppliers disclose the same customer each year (median 1).
The sample contains 6,408 distinct supplier-customer relationships between two publicly-
traded companies between 1990 and 2014. The average relationship is disclosed for 4 years
(median 3), with the longest relationship disclosed in 25 of the sample years. These customers
represent on average 18% of the suppliers total sales, and 28% of the supplier-customer links
share the same Fama-French 48 industry classification.

3 Customer Information Acquisition

Earnings announcements are regularly occurring events which attract considerable attention
from investors and provide incentives to acquire information (see footnote 3). These events
are typically scheduled in advance, and the combination of earnings notifications (i.e., an-
nouncements by companies of when they will announce earnings), public earnings calendars
(i.e., Zacks and Yahoos earnings calendars), and trends in company reporting dates allow
investors to anticipate their occurrence.
In this section I examine whether the anticipation of a suppliers earnings announcement
stimulates increased acquisition of customer information. Prior research suggests that cus-
tomer and supplier revenues are positively correlated, consistent with the existence of an
economic link (Cohen and Frazzini (2008)). Investors can thus use customer information
to calibrate expectations of supplier earnings. Given these customers material relationship

7
to their suppliers, any increase in search for customer information around supplier earnings
announcement dates is likely attributable to the suppliers investors. Evidence of increased
acquisition of customer information before supplier earnings announcements would suggest
that investors a) use customer information to value suppliers, and b) increase their attention
to this information before anticipated supplier disclosures.
I test whether acquisition of customer information increases before supplier earnings an-
nouncement dates using panel regressions. I restrict the analysis to customers previously
mentioned in a suppliers SEC filings to determine whether investors demand more infor-
mation about these known customers shortly before their suppliers announce earnings. I
estimate demand for customer information using OLS regressions of the following form:

Demandi,t = + 1 Supp Earnings[3, 1] + 2 Supp Earnings[0, 2]

+ 3 Earnings[3, 1] + 4 Earnings[0, 2]

+ News Dummy + Firm FE + Day-of-week FE

+ Year-Month FE + i,t (2)

where Demandi,t is a measure of information acquisition for customer i on day t, and

Supp Earnings[a, b] is a dummy variable set to one if any of the customers suppliers an-
nounces earnings between event days [a,b]. I use three measures of customer information
acquisition: log Google SVI for the customers ticker (Da, Engelberg, and Gao (2011); Drake,
Roulstone, and Thornock (2012); Madsen and Niessner (2016)) and log of total number of
daily downloads and daily 10K downloads from the SECs EDGAR database for the cus-
tomers filings (Drake, Roulstone, and Thornock (2015); Lee, Ma, and Wang (2015)). The
primary event days I consider are the three days before and after an earnings announcement
(i.e., days [-3,-1] and [0,2]). Thus Supp Earnings[3, 1] is set to one for the three days

8
before a suppliers earnings announcement, and captures any increased demand for customer
information on days leading up to a suppliers earnings announcement.7
Prior research indicates that investors demand for firm-specific information increases
around the firms own earnings announcement (Drake, Roulstone, and Thornock (2012)).
Therefore, I include indicator variables for the days before and after the firm (i.e., customer)
announced earnings (Earnings[a, b]). N ews Dummyi,t indicates if firm i was covered by a
media article on day t and is taken from the RavenPack News Analytics database. Firm
fixed effects, day-of-the-week fixed effects, and year-month fixed effects are included in all
specifications to address differences in the level of information demand across firms, days of
the week, and calendar months. Standard errors are clustered by firm and date.
Table 2 presents results from panel regressions estimating equation 2. Column 1 tabu-
lates results using Google SVI as the dependent variable, whereas columns 2 and 3 tabulate
results using total EDGAR downloads and EDGAR 10K downloads, respectively. The re-
sults indicate a statistically significant increase in demand for customer information over the
three days before a suppliers earnings announcement (positive and significant coefficients on
Supp Earnings[3, 1]). Because the dependent variables are log transformed, the coeffi-
cient estimates can be interpreted as the percent change in demand on days before suppliers
earnings announcements. Google SVI for a firms ticker thus increases 2.8% and EDGAR
downloads increase between 4.5% and 6.2% before days on which one of the firms suppli-
ers announces earnings. This increase is consistent with the suppliers investors acquiring
customer information as they await the suppliers anticipated earnings announcement.
Differences in demand for customer information before and after a suppliers event pro-
vide insights into investors information acquisition activities. The days following a sup-
pliers earnings announcement also generate significant increases in demand for customer

7
For customers with multiple suppliers, a given day could be classified as both before one suppliers earn-
ings announcement and after a different suppliers earnings announcement. Although rare, I set such
observations to missing to reduce noise in measuring differences in attention before and after supplier
earnings announcements.

9
information (positive and significant coefficient on Supp Earnings[0, 2]), yet across all three
specifications the increased demand is of reduced magnitude after the supplier announces
earnings relative to before the announcement (i.e., 6.2% increase in EDGAR downloads
before a suppliers earnings announcement vs. 3.6% increase after). These differences are
statistically significant at the 10% level in column 1 and the 5% level in columns 2 and 3
using a one-tailed t-test.8
In contrast to supplier earnings announcements, customer earnings announcements are
associated with greater search for customer information in the post-announcement period rel-
ative to the pre-announcement period. Consistent with evidence in Drake, Roulstone, and
Thornock (2012) that earnings announcements are anticipated, in column 1 I find that Google
SVI increases by 9.8% before the firm announces its own earnings (Earnings[3, 1]), with
comparably significant increases in EDGAR downloads (columns 2 and 3). Turning to the
coefficient on Earnings[0, 2], I find that Google SVI increases by 18.1% and EDGAR down-
loads by 35.8% and 14.2% after the firm announces earnings, substantially more than the
increase before these events. Consistent with prior research, news events generate significant
increases in demand for financial information (Madsen and Niessner (2016)).
To visualize these changes in customer information acquisition, I plot average abnormal
Google SVI for customers tickers and EDGAR downloads for customers filings around a
suppliers earnings announcement date. I measure abnormal Google SVI as SVI on day t
less average SVI for the same weekday over the past 10 weeks, scaled by this same average.
Abnormal EDGAR downloads are similarly calculated. To benchmark the level of customer
search around supplier earnings announcements, I also plot average abnormal search around
pseudo-events, defined as the date each quarter with the maximum absolute return and
above-average trading volume, and require these dates to not be within a 10-day window
of the actual earnings announcement. Changes in customer information acquisition around

8
P-values for a one-sided t-test comparing Supp Earnings[-3,-1] and Supp Earnings[0,2] for the three spec-
ifications are 0.067, 0.019, and 0.028, respectively.

10
these alternative, arguably less-anticipated events provide insights into the effect of antici-
pated earnings announcements on customer information acquisition.
Figure 1 Panel A plots average abnormal EDGAR downloads over the event window
[-10,10], centered on a suppliers earnings announcement date (solid line) and suppliers
pseudo-event date (dashed line). EDGAR downloads of customer filings are already signif-
icantly higher at the 1% level ten days before a suppliers earnings announcement relative
to supplier pseudo-events and continue to increase until event day t 3, at which point
EDGAR downloads begin to decrease and persist at relatively lower levels for the ten days
after the earnings announcement. Although EDGAR downloads begin to decrease two days
before a suppliers earnings announcement, they remain significantly higher at the 1% level
until event day t + 2 relative to EDGAR downloads around supplier pseudo-events. This
pattern is consistent with increased customer information acquisition prior to a suppliers
anticipated earnings announcement.
Panel B plots abnormal Google SVI for customers tickers around these same supplier
event days. Similar to EDGAR downloads, Google SVI is significantly higher prior to supplier
earnings announcement dates relative to supplier pseudo-event dates, and decreases three
days before the actual announcement. Three days before supplier earnings announcements
Google SVI is still significantly higher than Google SVI before pseudo-events, but by event
day t 2 this difference is insignificant. The significant drop in both EDGAR downloads and
Google SVI at the suppliers earnings announcement is consistent with a switch in attention
towards the supplier at the suppliers earnings announcement. Google SVI for customer
tickers subsequently increases three days following these supplier earnings announcements.
In summary, this section documents increased Google SVI for customer tickers and
EDGAR downloads of customer SEC filings before a suppliers earnings announcement.
Increased demand for customer information before a suppliers earnings announcement is
consistent with the anticipation hypothesis. In the following sections I explorer the conse-
quences of this increased attention to customer-supplier relationships for price discovery.

11
4 Customer News and Supplier Announcement Returns

In this section I test whether the increased attention to customer-supplier relationships

before suppliers earnings announcement dates improves price discovery of customer news and
attenuates inefficiencies related to investor limited attention. Cohen and Frazzini (2008) (CF)
present evidence that customer news slowly diffuses across investors, generating predictable
returns (customer-supplier anomaly). An underlying assumption in these tests is that good
(bad) customer news maps into higher (lower) future expected cash flows for the supplier
which should be priced at the time of the customers news. Anomalous returns suggest that
a friction, such as investor attention constraints, impedes the flow of customer news into the
suppliers stock price and results in a delayed reaction.
If the returns to the customer-supplier anomaly result from limited attention, then in-
creased attention to customers due to the anticipation of a scheduled suppliers earnings
announcement should attenuate these anomalous returns. I thus investigate the pattern of
predictable returns around supplier earnings announcement dates.9 CF present evidence
that customer news in month t predicts supplier returns in month t + 1. Using an event
study, I test whether customer news predicts suppliers three-day pre-announcement and/or
post-announcement returns. Economically large and predictable pre-announcement returns
would be consistent with increased price discovery of customer news before an anticipated
earnings announcement. A pattern of predictable pre-announcement returns, followed by
insignificant post-announcement returns, would suggest that anticipation of these events
attenuates returns to the customer-supplier anomaly.

9
In limited attention models, price is a weighted-average of individual investors beliefs (both attentive
and attention constrained), where weights reflect both the relative number of investors and their risk
preferences (Hirshleifer and Teoh (2003); Hirshleifer, Lim, and Teoh (2011)). If enough investors exhibit
limited attention to customer information and if attentive investors are sufficiently risk averse, then
customer information will slowly diffuse and generate predictable returns. As pointed out by Frazzini and
Lamont (2007), high idiosyncratic risks and holding costs could induce even attentive traders to wait until
an anticipated information event to trade on their information, particularly given lower trading volumes
prior to schedule corporate events (Chae (2005)).

12
 For each suppliers earnings announcement date (day 0), I calculate the suppliers cu-
mulative abnormal return (CAR) (measured using returns adjusted for the value-weighted
market return) corresponding to the pre-announcement period (event days -3 to -1) and
post-announcement period (event days 0 to 2). These separate returns allow me to examine
the timing of information flows and whether returns to the customer-supplier anomaly are
lower following earnings announcements. I use each of these returns as a separate dependent
variable and examine the relation between supplier announcement returns and customer
news over the previous quarter using regressions of the following form:

CAR[3,1] = + 1 Cust N ews[x,y] + Controls + i,t (3a)

CAR[0,2] = + 1 Cust N ews[x,y] + Controls + i,t (3b)

where CAR[a,b] is a supplier cumulative abnormal return over the event window [a,b] and
Cust N ews[x,y] is a measure of customer news over the window [x, y]. A positive 1 in
model 3a would be consistent with a delayed response to customer news immediately prior
to the anticipated earnings announcement date and suggest that increased attention prior to
these events resolves investors limited attention to customer information and improves price
discovery. An insignificant 1 in model 3b would further suggest that the increased attention
prior to these events accelerates price discovery of customer information and attenuates
returns to the customer-supplier anomaly.
My primary measure of customer news is a sixty-day cumulative abnormal return to a
sales-weighted customer portfolio ending on event day t6 (Cust Abret[-65,-6]).10 I measure

10
Results using the average earnings surprise for all of a firms customers over the previous quarter as
an alternative non-market based measure of customer news produce statistically insignificant results,
consistent with evidence in Pandit, Wasley, and Zach (2011) of information transfer from the customer
to the supplier at the time of the customers earnings announcement. Market-based tests using customer
cumulative abnormal returns thus likely capture the pricing of customer information that is incremental
to the customers earnings surprises.

13
returns over sixty days to correspond to approximately one quarter of customer news, and
intentionally insert a lag between the end of the customer return measurement date (t-6)
and start of the announcement window (t-3) to ensure a minimal staleness of customer
news in each regression and avoid any mechanical association.11 For firms with more than
one supplier, the sales-weighted portfolio (using the percent of total sales attributed to
each customer) gives greater weight to more material customers. I exclude supplier earnings
announcements where one of its customers announces earnings during the same week because
previous research finds evidence of information transfers from customers to suppliers around
customer earnings announcement dates (Pandit, Wasley, and Zach (2011)). Figure 2 depicts
the timing of these event-period return windows.
Controls include the suppliers abnormal return over the same sixty-day period to control
for short-term price reversals, the suppliers unexpected earnings to control for the news
content of the earnings announcement, and abnormal returns of the suppliers and customers
industries to control for industry momentum, as well as year and month fixed effects. I also
follow previous research on earnings announcement returns and include the suppliers decile-
ranked size and book-to-market, the log number of analysts, reporting lag, earnings volatility,
earnings persistence, turnover, institutional ownership, and these variables interacted with
the suppliers unexpected earnings. Variables are defined in Appendix A. Standard errors
are clustered by earnings announcement dates.
Coefficient estimates of equations 3a and 3b using 60-day customer returns as a mea-
sure of customer news are tabulated in Table 3 Panel A. Columns 1 through 3 investigate
pre-announcement returns using specifications both with and without control variables, and
columns 4 through 6 tabulate similar analyses of announcement returns. The results in the
first three columns indicate that customer returns over the previous quarter significantly pre-
dict the suppliers 3-day pre-announcement return. The baseline specification in column 1

11
Robustness tests using 60-day returns ending on event day t 4 tabulated in the Internet Appendix
produce qualitatively similar results.

14
suggests that a one-standard-deviation increase in the customer return portfolio is associated
with a 19 basis-point increase in the suppliers pre-announcement return. These results are
robust to controls for the contemporaneous earnings surprise in column 2, evidence that the
predictable returns are not driven by leakage of the earnings information. In column 3 the in-
clusion of both supplier and customer industry returns further indicates that the predictable
returns are specific to disclosed customers and not a result of diffusion of industry informa-
tion (Moskowitz and Grinblatt (1999)). The scheduled and anticipated nature of earnings
announcements allows investors to strategically acquire information prior to these announce-
ments. The sizable pre-announcement returns suggest that investors learn customer-related
news through increased scrutiny prior to anticipated supplier earnings announcements.
In contrast to the significant association with pre-announcement returns, customer re-
turns are insignificantly associated with the three-day announcement returns in columns 4
through 6. Furthermore, a two-sided t-test from a seemingly unrelated regression (SUR)
model suggests that the pre-announcement and post-announcement coefficients on cus-
tomer returns are statistically different at the 10% confidence level. Insignificant post-
announcement returns suggests that the increased attention prior to these anticipated earn-
ings announcements accelerates price discovery of customer news and attenuates returns to
the customer-supplier anomaly.
I next examine robustness tests using customer returns measured over alternative win-
dows. CF demonstrate that a calendar-time portfolio based on monthly customer returns
generates predictable supplier monthly returns. The event-time analysis around supplier
earnings announcement dates permits a wide range of possible customer return windows.
The main analysis uses returns over sixty trading days to correspond to approximately an
entire quarter of news. To more closely correspond to the strategy in CF, I next use customer
returns measured over 20 trading days (approximately one month). For completeness I also
examine results using 40 trading days and 80 trading days.

15
 Table 3 Panel B tabulates results from estimates of equations 3a and 3b using returns
measured over 20-day, 40-day, 60-day, and 80-day windows ending on event day t6 (window
[x,y] defined in column headers). Across all four measurement windows in columns 1-4, I
find consistent results that customer returns predict supplier pre-announcement returns.
Furthermore, these coefficient estimates are monotonically decreasing in the length of the
measurement window from 1.77 to 0.64. This result suggests that investors tend to price
more recent customer news during the pre-announcement window, and that customer news
from earlier in the quarter is already partially reflected in price by the time the supplier
announces earnings.
The coefficient on customer returns when analyzing the post-announcement window
(columns 5-8) is not only insignificant but also economically smaller than the coefficient
on customer returns when analyzing the pre-announcement window. I test for differences on
this coefficient across the two dependent variables (pre-announcement and announcement re-
turns) using a seemingly unrelated regression. The evidence suggests that the coefficients are
statistically different at the 10% level when using the 20-day, 40-day, and 60-day customer
return measures, and insignificantly different when using 80-day customer returns.
Overall, the results in Tables 2 and 3 suggest that anticipated supplier earnings announce-
ments elicit increased acquisition of customer information during the pre-announcement
period and improve price discovery of customer news, mitigating returns to the customer-
supplier anomaly.

5 Customer Information Acquisition and Predictable Returns

I next test whether these predictable pre-announcement returns are increasing in investors
acquisition of customer information. Section 3 documents a significant increase in search for
customer information prior to anticipated supplier earnings announcements, and Section 4
presents evidence that customer news predicts supplier returns shortly before the supplier
announces earnings. If these predictable returns are a response to investors learning cus-

16
tomer information, then the predictable returns should be increasing in the level of customer
information acquisition.

5.1 Regression Analysis

In this subsection I extend the analysis of earnings announcement predictable returns in Sec-
tion 4 and include measures of customer information acquisition over the pre-event window
as an additional explanatory variable, as well as interactions of customer news and customer
information acquisition. Specifically, I estimate the following model:

CAR[a,b] = + 1 Cust N ews[x,y] + 2 Cust Demand[3,1]

+ 3 Cust N ews[x,y] Cust Demand[3,1] + Controls + i,t (4)

where CAR[a,b] is either the suppliers pre-announcement or announcement cumulative abnor-

mal return. I continue to use sales-weighted customer cumulative abnormal returns over 20-
day, 40-day, 60-day and 80-day windows as measures of customer news. Cust Demand[3,1]
captures acquisition of customer information over the three-day pre-announcement period
and is measured as either abnormal EDGAR downloads over the [-3,-1] event window or
Google SVI over the [-3,-1] event window. For suppliers with more than one customer I use
the average Cust Demand[3,1] across all customers. To facilitate interpretation of the inter-
action term I standardize Cust Demand[3,1] to have a mean of zero and standard deviation
of one and restrict the sample to firms whose publicly disclosed customers have either Google
SVI or EDGAR download data (less than one third of the earnings announcement sample).
Controls include the suppliers cumulative abnormal return over the same interval [x,y], the
suppliers unexpected earnings, year and month fixed effects, and standard controls from
previous research on earnings announcement returns (i.e., firm market cap, book-to-market,
# analysts, reporting lag, earnings volatility, earnings persistence, turnover, institutional

17
ownership and their interactions with the suppliers unexpected earnings). I continue to
cluster standard errors by earnings announcement dates.
The anticipation hypothesis suggests that attention to customers increases prior to sched-
uled earnings announcements and that this increased attention accelerates the diffusion of
customer news and attenuates inefficiencies related to investor limited attention. I thus
measure Cust Demand[3,1] over the [-3,-1] event window to capture changes in attention
to customers immediately prior to a suppliers earnings announcement.12 Increased atten-
tion prior to an earnings announcement will uncover both contemporaneous and historical
information about the customer. If investors face attention constraints processing customer
information, then the increased attention will accelerate the diffusion of customer news and
generate predictable supplier returns that are increasing in the level of customer information
acquisition. A positive 3 coefficient on the interaction term in equation 4 would be consis-
tent with increased search for customer information accelerating the diffusion of customer
news.
Table 4 tabulates coefficient estimates of equation 4. Panel A tabulates results using
EDGAR downloads and Panel B tabulates results using Google SVI as measures of cus-
tomer information acquisition. The coefficients on Cust Abret[x,y] capture the marginal
effect of customer news on the suppliers stock price when the standardized measure of
Cust Demand[3,1] is zero (i.e., the sample average). Similar to the evidence in Table 3,
customer returns significantly predict the suppliers pre-announcement return in columns
1 through 4 of both panels (coefficient on Cust Abret[x,y]), but are generally insignificant
when using post-announcement returns as the dependent variable in columns 5 through 8.13

12
Robustness tests using customer information acquisition over the window [-4,-1] produces qualitatively
similar results using both measures of customer information acquisition. Results are also qualitatively
similar using Google SVI over a [-2,-1] window, but insignificant when using EDGAR downloads over this
shorter window (see the Internet Appendix).
13
Customer returns measured over an 80-day period are positively associated with the suppliers three-day
post-announcement return in Panel B at the 10% confidence level.

18
These results suggest significant price discovery of customer news prior to supplier earnings
announcement dates even within this restricted sample.
The main effect of customer information search (i.e., coefficient on Cust Demand[3,1] )
is positive but insignificant in Panel A when using EDGAR downloads, but positive and
statistically significant at the 10% level in Panel B when using Google SVI for customer
tickers, suggesting that increased attention to customers puts positive pressure on suppliers
prices. The interaction term is positive and significant in both panels when measuring
customer news over twenty trading days (column 1). Coefficient estimates and significance on
this interaction term are decreasing in the length of the customer return measure, although
the interaction term is positive and significant at the 10% level in Panel B when using
customer returns over an 80-day period (column 4). The analysis suggests that increased
acquisition of customer information prior to anticipated supplier earnings announcements
accelerates the pricing of recent customer news. Investor limited attention thus appears
most pronounced to customer news over the previous month, and to a lesser degree to
customer news over longer periods.

5.2 Earnings Announcement Portfolio Sorts

To provide additional descriptive evidence on the relationship between customer returns

and supplier earnings announcement returns, in this section I tabulate average supplier
returns by customer portfolio bins. Specifically, I rank all firms announcing earnings during
each calendar quarter based on their customer return over the 60-day window prior to the
actual earnings announcement. I place these sorted firms into quintiles, and each quarter
calculate the average pre-announcement and announcement supplier return (i.e., CAR[-3,-1]
and CAR[0,2]) for each customer quintile, as well as the hedge portfolio that is long the
highest customer return quintile and short the lowest customer return quintile. CF find that
monthly supplier returns are increasing across similar customer portfolio bins, and that a
long-short portfolio generates positive abnormal returns. If anticipated supplier earnings

19
announcements mitigate returns to the customer-supplier anomaly, then pre-announcement
supplier returns, but not post-announcement supplier returns, will be increasing across these
customer portfolio bins.
In Table 5 Panel A I tabulate the quarterly average pre-announcement and announcement
return for each quintile and hedge portfolio, as well as their associated t-statistics estimated
over 100 quarters (1990Q1 through 2014Q4). Each of the five quintiles exhibit significantly
positive pre-announcement returns, consistent with the earnings announcement premium
documented in prior research (Ball and Kothari [1991]; Cohen, Dey, Lys, and Sunder [2007];
Frazzini and Lamont [2007]). The pre-announcement returns (CAR[-3,-1]) are monotonically
increasing across the five customer return quintiles, and the hedge portfolio (High-Low) is
positive and statistically significant. In contrast, there is no noticeable pattern in announce-
ment returns (CAR[0,2]) across the five customer return quintilesfour of the five quintiles
produce insignificant coefficient estimates and the hedge portfolio examining these returns
is insignificant. The evidence suggests that customer news over the previous quarter is im-
pounded into the suppliers price immediately before the supplier announces earnings and
that anticipation of earnings announcements attenuates returns to the customer-supplier
anomaly.
I next sort firms by both their 60-day customer return and the level of customer informa-
tion acquisition over the [-3,-1] window prior to the suppliers earnings announcement. By
construction, this is a subsample of observations with available customer search measures.
Evidence in Table 5 Panel A as well as the regression-based evidence in Table 3 suggests
that customer news is priced by the suppliers investors immediately before the supplier an-
nounces earnings, consistent with the anticipation of an earnings announcement mitigating
returns to the customer-supplier anomaly. The anticipation hypothesis suggests that higher
levels of search for customer information prior to the earnings announcement should result
in larger pre-announcement returns as more customer news is priced. Each quarter I thus in-
dependently rank all firms announcing earnings into quintiles based on their customer return

20
and customer information acquisition (either EDGAR downloads or Google SVI), forming
25 portfolios each quarter.
The portfolio sorts in Table 5 Panel B provide mixed support for the anticipation hypoth-
esis. In the first three columns I use EDGAR downloads over the event window [-3,-1] as a
measure of customer search, and find that suppliers pre-announcement returns (CAR[-3,-1])
are statistically higher when customer search is high (relative to when customer search is
low) for the two highest customer return quintiles. Specifically, the hedge portfolio in col-
umn 3 (High-Low) produces positive and statistically significant estimates for the portfolios
CustAbretQ4 and CustAbretQ5 at the 10% confidence level. Furthermore, the table also
provides evidence that the effect of customer search is increasing across customer return quin-
tiles. Specifically, the double-hedge portfolio (i.e., long the CustAbretQ5 hedge portfolio and
short the CustAbretQ1 hedge portfolio) produces statistically significant pre-announcement
returns at the 10% confidence level.
In the last three columns I use Google SVI over the event window [-3,-1] as an alternative
measure of customer information acquisition. In contrast to the analysis using EDGAR
downloads, these results are generally insignificant and provide no support for the hypothesis
that supplier pre-announcement returns are increasing in the level of customer information
acquisition. This is consistent with the results in Table 4 Panel B where I also find an
insignificant coefficient on the interaction of Google SVI and customer returns measured
over a 60-day window. Robustness tests in Table 3 Panel B suggest that investor limited
attention is greater to recent news (i.e., measured over one month) relative to news over
extended periods (i.e., the entire quarter). Thus one explanation for the insignificant effect
of customer information acquisition in the last three columns of Table 5 Panel B is the use
of 60-day customer returns to measure customer news.
I therefore also form portfolios using customer returns measured over a 20-day window.
Results tabulated in the Internet Appendix are consistent with the analysis of 20-day re-
turns in Table 4 and supports the hypothesis that supplier returns are increasing in customer

21
information acquisition. Specifically, I find that for the highest quintile of customer returns
(CustAbretQ5), supplier pre-announcement returns are increasing with customer informa-
tion acquisition and generate a statistically significant hedge portfolio using both EDGAR
downloads and Google SVI as measures of customer information acquisition.14 In addi-
tion, the double-hedge portfolio that is long the CustAbretQ5 hedge portfolio and short the
CustAbretQ1 hedge portfolio is also positive and statistically significant, suggesting that
the effect of increased customer information acquisition is increasing across customer return
quintiles.15
The combined evidence supports the hypothesis that anticipation of supplier earnings
announcements mitigates returns to the customer-supplier anomaly and accelerates the flow
of customer-related information into price. I provide additional evidence suggesting that the
acquisition of customer information plays a key role in the pricing of customer information,
particularly when customer news is measured over shorter (i.e., monthly) intervals.

6 Calendar Month Portfolio Sorts

In this section I attempt to link the evidence that anticipation of supplier earnings an-
nouncements mitigates the anomalous customer-supplier returns to the monthly calendar-
time analysis in CF. I first replicate a key finding in CF that supplier monthly returns are
increasing across customer return portfolios. I then form separate monthly portfolios based
on whether the firm (i.e., supplier) announced earnings during the previous month. The
anticipation hypothesis suggests that returns to the customer-supplier anomaly should be
larger for the sample of firms that did not announce earnings in the previous month, as there
was no earnings announcement to attract investors attention to customer information. In
contrast, returns to the customer-supplier anomaly should be smaller for the sample of firms

14
Two-tailed p-values are 0.092 and 0.060 for EDGAR downloads and Google SVI, respectively.
15
Two-tailed p-values are 0.085 and 0.038 for EDGAR downloads and Google SVI, respectively.

22
that announced earnings during the previous month if the earnings announcement attracted
attention to the customers and facilitated pricing of customer news.
In order to separate announcement months from non-announcement months, I restrict
analysis in this section to supplier-years with exactly four earnings announcements (Frazzini
and Lamont (2007)), increasing confidence that non-announcement months are cleanly iden-
tified. For this sample of firms, I first sort suppliers into quintiles each calendar month based
on the sales-weighted return of their customers as of the end of the previous month. For
each quintile I calculate the average excess supplier monthly return (raw return less risk-free
rate), as well as the return to a hedge portfolio that is long suppliers in the highest customer
return quintile and short suppliers in the lowest customer return quintile.
The first row of Table 6 shows monthly five-factor alphas for the full sample of supplier-
years with exactly four earnings announcements. Specifically, I regress the monthly ex-
cess returns for each portfolio on the market factor, returns from the Fama and French
(1993) mimicking portfolios (SMB and HML), Carhart (1997) momentum factor, and Pastor
and Stambaugh (2003) liquidity factor and tabulate the resulting intercept. These alphas
monotonically increase across the five customer return quintiles, from an insignificant -0.103
monthly percent to a significant 0.805 monthly percent. The hedge portfolio produces a
significant alpha of 0.908 monthly percent. CF document five-factor alphas of 1.359 monthly
percent using comparable equal-weighted portfolios. Although still significant, the returns I
document are thus attenuated relative to the returns in CF, possibly due to differences in
sample period and/or composition.16
I next sort firms by both the return of their customers during the previous month and by
whether the firm itself announced earnings in the previous month and tabulate five-factor
alphas for these portfolios. The results in Table 6 suggest that returns to the hedge portfolio
are greater when the supplier did not announce earnings during the previous month, and

16
CF analyze stocks over the period 1981 to 2004. Results are further attenuated if I restrict the analysis
to the period 1990 to 2004 (hedge portfolio alpha of 0.796 monthly percent), suggesting that differences
between these results and CF are possibly due to the sample composition of announcing firms.

23
smaller when the supplier did announce earnings during the previous month. Specifically,
the hedge portfolio that includes only firms that did not announce earnings in the previous
month generates a five-factor alpha of 1.013 monthly percent (significant at the 1% level).
In contrast, the hedge portfolio that includes only firms that announced earnings in the
previous month produces a smaller five-factor alpha of 0.691 monthly percent (significant at
the 10% level). Although still significant, this attenuated hedge portfolio for the firms that
announced earnings is consistent with a greater portion of customer news being priced in
announcement months relative to non-announcement months.17

7 Robustness Tests: Less-Anticipated Events

The anticipation hypothesis proposes that attention to customers increases prior to suppli-
ers anticipated earnings announcements. Evidence in Sections 3 through 6 suggests that
acquisition of customer information increases prior to suppliers anticipated earnings an-
nouncements, that customer news predicts suppliers pre-announcement returns but not
post-announcement returns, and that these predictable returns are increasing in the level of
customer information acquisition of recent customer news. In this final section I investigate
whether these findings are specific to anticipated earnings announcements.
To test whether these results holds for only anticipated events, I examine patterns of cus-
tomer information acquisition and predictable returns around two arguably less-anticipated
supplier events: pseudo-events and unbundled earnings forecasts. I define pseudo-events as
the date each quarter with the maximum absolute return and above average trading volume,
and require these days to not be within a 10-day window of the actual earnings announce-
ment. These pseudo-events realize an average absolute return of 15.13% with on average
0.15% of shares trading on these days. In contrast the absolute one-day earnings announce-

17
In untabulated results I independently sort the portfolio of firms that announced earnings in the previ-
ous month based on both customer news and customer information acquisition prior to these earnings
announcements to examine if returns to the hedge portfolio are further attenuated when customer search
is high. These tests produce insignificant results, possibly due to power issues.

24
ment return in the sample is 4.28%. The significant absolute return and trading volume
associated with these pseudo-events suggests that investors are pricing new information, yet
because these events are not scheduled they are likely less anticipated by financial market
participants. Because unbundled earnings forecasts are by definition issued by management
on non-earnings announcement days, these events are also plausibly less anticipated, al-
though anecdotal evidence suggests that at least some firms pre-announce earnings forecast
dates or issue earnings forecasts in predictable patterns.18 If these events are unanticipated
or at least less-anticipated than earnings announcements, then analysis using these alterna-
tive events should be insignificant or of reduced magnitude relative to analysis using supplier
earnings announcements.
To determine whether increases in customer information acquisition before supplier earn-
ings announcements are due to the anticipated nature of these events, I estimate the following
modified version of equation 2:

Demandi,t = + 1 Supp[3, 1] + 2 Supp[0, 2]

+ 3 Cust[3, 1] + 4 Cust[0, 2]

+ News Dummy + Firm FE + Day-of-week FE

+ Year-Month FE + i,t (5)

where Demandi,t is one of the three measures of information acquisition for customer i on
day t, Supp[a, b] indicate days around either a supplier pseudo-event or unbundled earnings
forecast date, and Cust[a, b] is similarly defined for days around the firms own pseudo-
event dates or earnings forecast dates. If the scheduled and anticipated nature of earnings
announcements is responsible for the pre-event increase in attention to customers, then the

18
Under Reg FD, firms holding conference calls in connection with earnings forecasts must provide adequate
advance notice of when the conference call will be held.
https://www.sec.gov/divisions/corpfin/guidance/regfd-interp.htm, Question 102.01.

25
coefficient on Supp [3, 1] will be either insignificant or of reduced magnitude relative to
the analysis of earnings announcement dates in Table 2.
The first three columns of Table 7 show results from panel regressions estimating equa-
tion 5 using supplier pseudo-events and the last three columns show results using unbundled
earnings forecasts. In contrast to the significant increased demand for customer information
before a suppliers earnings announcement in Table 2, I find attenuated results for cus-
tomer information acquisition before supplier pseudo-events. The coefficient estimates on
Supp[3, 1] are insignificant in columns 1 and 2 (Google SVI and total EDGAR down-
loads), but statistically significant in column 3 at the 10% level (EDGAR 10K downloads).
However, the coefficient estimates for Supp[3, 1] in the first three columns of Table 7
(0.009, 0.009, 0.014) are of reduced magnitude relative to the coefficient estimates in Table
2 (0.028, 0.062, 0.045). Although search for customer information is minimal before supplier
pseudo-events, after these events Google SVI increases by 3.8% and EDGAR downloads in-
crease by 2.2% and 3.2%. The significant increase in demand for customer information after
these supplier pseudo-events further confirms that these are less-anticipated, yet significant
events.19
Examining earnings forecast dates, I find no evidence that Google SVI for customer
tickers increases prior to these events in column 4. However, EDGAR downloads statistically
increase prior to these forecast dates in columns 5 and 6, although all three coefficient
estimates (0.019, 0.038, 0.036) are of reduced magnitude relative to the estimates in Table
2.20 The evidence is consistent with anticipated events triggering a pre-event increase in
customer information acquisition.

19
Customer pseudo-events also trigger significant increases in information acquisition after these events,
and mixed evidence of increased information acquisition before these events. The analysis suggests that
a firms own pseudo-event is more likely anticipated than a suppliers pseudo-event (i.e., coefficient on
Supp[-3,-1] vs. Cust[-3,-1]).
20
In the Internet Appendix I include both earnings announcement dates and either pseudo-event dates or
earnings forecast dates and test for differences across the pre-event coefficient estimates. I find the differ-
ence between supplier earnings announcement and pseudo events is significant at the 10% level or better,
but differences between supplier earnings announcements and earnings forecast dates are not statistically
different, consistent with evidence that unbundled earnings forecast dates are partially anticipated.

26
 To analyze whether the predictable pre-announcement returns I document in Table 3
are specific to anticipated earnings announcements, I modify equations 3a and 3b to ex-
amine returns around supplier pseudo-events and management forecast dates. Insignificant
returns before less-anticipated events would suggest that the increased price discovery of
customer news in Table 3 is due to the anticipated nature of earnings announcements. The
results in Table 8 suggest that customer news (measured over a 60-day window) is insignif-
icantly related to supplier returns before these less-anticipated events (columns 1 and 3).
In column 2 I find that customer news is significantly positively associated with supplier
returns after these pseudo-events, which contrasts with the insignificant relation with post-
announcement returns in Table 3. Customer news is insignificantly associated with returns
following earnings forecast dates. The combined results in Tables 7 and 8 suggest that at-
tention to customers and the pricing of customer news increases following less anticipated
events, whereas anticipated earnings announcements accelerate the pricing of customer news
before these events.

8 Conclusion

I present evidence that the anticipation of a suppliers earnings announcement stimulates

acquisition of customer information and accelerates the pricing of customer news. Specif-
ically, Google SVI for a customers ticker and EDGAR downloads of a customers filings
(measures of customer information acquisition) increase prior to a suppliers earnings an-
nouncement, and customer returns (a measure of customer news) predict their suppliers
pre-announcement returns but not post-announcement returns. This pattern of predictable
pre-announcement returns followed by insignificant post-announcement returns suggests that
the increased acquisition of customer information prior to anticipated earnings announce-
ments resolves investor limited attention to customer news, accelerates price discovery, and
attenuates returns to the Cohen and Frazzini (2008) customer-supplier anomaly.

27
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29
Appendix A: Variable Definitions

Variable Definition
Google SVI Log daily Google Search Volume Index (SVI) for a firms stock ticker.
Calculated as Daily SVI (obtained by searching within a given month)
scaled by Weekly SVI (obtained by searching across the entire sample
period).
Edgar All Log number of daily downloads + 1 of a firms SEC EDGAR filings.
Downloads from IP addresses with more than 50 downloads in a day are
removed.
Edgar 10-K Log number of daily downloads + 1 of a firms SEC EDGAR 10-K filings.
Downloads from IP addresses with more than 50 downloads in a day are
removed.
Supp Earnings[a,b] An indicator equal to one between event days [a,b] relative to when a
firms supplier announces earnings.
Earnings[a,b] An indicator equal to one between event days [a,b] relative to when a
firm announces earnings.
News Dummy An indicator equal to one if the firm was mentioned in a news article
that day. Taken from RavenPack News Analytics Database.
CAR[a,b] Three-day earnings announcement cumulative abnormal return calcu-
lated over the window [a,b] around a suppliers earnings announcement
date. Abnormal returns calculated as the raw return less value-weighted
market return.
Cust Abret[x,y] Sales-weighted cumulative abnormal return of a firms customers, mea-
sured over the event window [x,y] relative to the firms (i.e., suppliers)
earnings announcement date.
Abret[x,y] Announcing firms cumulative abnormal return over the event window
[x,y] relative to its own earnings announcement.
UE Announced earnings per share less the median analyst consensus, scaled
by stock price from the end of the previous quarter.
Ind Abret[x,y] Industry cumulative abnormal return over the event window [x,y] for
the announcining firms Fama-French 48 industry.
Cust Ind Abret[x,y] Average cumulative abnormal return over the event window [x,y] for the
Fama-French 48 industries of the announcing firms customers.

30
 Appendix A (continued)

Variable Definition
MVE Market value of equity.
Persist Earnings persistence, calculated as the AR(1) coefficient from regressing
current earnings on prior years earnings in the same quarter, calculated
over the trailing four years.
Volatility Earnings volatility, calculated as the standard deviation of the seasonal
difference in EPS over the trailing four years.
Analysts Log number of analysts following the firm.
InstOwn Percent of shares held by institutional investors.
BTM Book-to-market ratio.
Replag Number of days between the end of the quarter and the earnings an-
nouncement date.
Turnover Average monthly share turnover over the previous calendar year.
Cust Google[-3,-1] Cumulative Google SVI for the customers tickers measured over the
event window [-3,-1].
Cust Edgar[-3,-1] Cumulative abnormal downloads of the customers EDGAR filings over
the event window [-3,-1]

31
 Figure 1
Customer Information Acquisition Around Supplier Events

This figure plots average information acquisition for a firms customers centered on the firms earnings
announcement dates (solid line) and pseudo dates (dashed line). Panel A plots abnormal EDGAR downloads
and Panel B plots abnormal Google SVI. Abnormal downloads/SVI are defined as the total number of
downloads/SVI on a given day less the average number of downloads/SVI on the same weekday over the
past 10 weeks, scaled by this same average. Pseudo dates are defined as the non-earnings announcement date
where a firm experienced above-average trading volume and the max absolute return within the calendar
quarter.

Panel A: EDGAR Downloads

.25
Abnormal Edgar Downloads
.1 .15
.05 .2

-10 -8 -6 -4 -2 0 2 4 6 8 10

Days relative to earnings announcement Days relative to pseudo date

Panel B: Google SVI

.12 .1
Abnormal Google SVI
.06 .08
.04
.02

-10 -8 -6 -4 -2 0 2 4 6 8 10

Days relative to earnings announcement Days relative to pseudo date

32
 Figure 2
Customer and Supplier Event Return Windows Timeline

This figure plots a timeline of the earnings announcement analysis. Supplier cumulative abnormal returns
(CAR) are calculated over the suppliers three-day pre-announcement and announcement periods. Customer
sales-weighted cumulative abnormal returns are calculated over the sixty-day event period ending on day t-6
before the suppliers earnings announcement.

Customer Supplier Supplier

CAR [-65,-6] CAR [-3,-1] CAR [0,2]

-65 -6 -3 -2 -1 0 1 2

Supplier Earnings Announcement

33
 Table 1
Summary Statistics

Panel A describes the sample selection for both customer information acquisition and earnings announcement
tests. The initial sample for both tests is all firm-year observations of US common stocks (share code 10 or 11)
from 1990 to 2014 for which I can identify a domestic publicly traded customer from the Compustat Segment
file. For the customer information acquisition tests I create a panel of customer-day observations, dropping
customers with no precise earnings announcement dates (Compustat announcement date equal to IBES
announcement date) or news data (from Ravenpack). I further drop all customer-day observations with no
supplier data, requiring that a supplier disclosed the customer at least three but not more than 15 months
earlier. For the earnings announcement tests I start with the sample of precise earnings announcements
(Compustat announcement date equal to IBES announcement date) between 1990 and 2014 by an identified
supplier from the Compustat Segment file. I drop all observations for which I am unable to calculate a
sales-weighted customer return prior to the suppliers earnings announcement and observations with missing
controls. Panel B presents pooled firm-year descriptive statistics separately for suppliers and customers, as
well as relationship-specific descriptive statistics.

Panel A: Sample Selection

Observations
Customer-day observations with Google data, 2005-2013 1,652,240
Less firms with missing earnings announcement dates (429,528)
Less missing supplier data (653,220)
Less missing news data (17,581)
Final Google demand sample 551,911
Unique customers: 392

Customer-day observations with Edgar data, 1/25/2003 - 3/31/2012 4,817,866

Less firms with missing earnings announcement dates (2,127,111)
Less missing supplier data (1,621,902)
Less missing news data (46,742)
Final Edgar demand sample 1,022,111
Unique customers: 650

Supplier earnings announcement events, 1990-2014 130,327

Less missing customer data (89,023)
Less missing controls (7,564)
Final supplier earnings announcement sample 33,740
Unique suppliers: 2,714
Unique customers: 1,126

34
 Panel B: Pooled Firm-Year Descriptive Statistics

Count Mean Median SD Min Max

Supplier Characteristics
Supplier market cap ($ millions) 12,472 2,260 333 6,759 5 51,167
Supplier B/M ratio 12,472 0.57 0.46 0.49 -0.46 3.02
Unique customer count 12,472 1.35 1.0 0.66 1.0 7.0

Customer Characteristics
Customer market cap ($ millions) 7,342 24,565 6,641 50,012 1.77 604,415
Unique supplier count 7,342 4.2 1.0 8.1 1.0 97.0

Relationship Characteristics
Duration (years) 6,408 4.0 3.0 3.5 1 25
Industry match 6,408 0.28 0 0.45 0 1
Customer sales (percent) 6,408 18.0 13.7 14.7 0.00 100

35
 Table 2
Customer Information Acquisition

This table shows coefficient estimates from clustered panel regressions of measures of information acquisition
for publicly-traded domestic firms (share code 10 or 11) identified as a customer in the Compustat Segment
files. Column (1) analyzes firms with Google SVI data between 2005 and 2013, where the dependent variable
is the log daily level of Google SVI for a firms ticker. Columns 2 and 3 analyze firms with EDGAR download
data between January 2003 and March 2012, where the dependent variable is the log of total downloads + 1
(column 2) or 10-K downloads + 1 (column 3). The primary explanatory variables of interest are indicators
for dates around a supplier event. Supp Earnings[a,b] indicate days relative to one of the firms suppliers
earnings announcement dates and Earnings[a,b] are similarly defined for days around the firms own earnings
announcement dates. News Dummy is an indicator variable equal to 1 if the firm was mentioned in a news
article that day and zero otherwise. All regressions include firm, year-month, and day-of-week fixed effects.
Standard errors are clustered by both firm and date. T-statistics are in parentheses and *, **, *** indicate
10%, 5%, and 1% two-tailed statistical significance, respectively.

Demandi,t = + 1 Supp Earnings[a, b] + 2 Earnings[a, b] + 3 N ews Dummy

+ Fixed Effects + i,t

(1) (2) (3)

Google Edgar All Edgar 10-K
Supp Earnings[-3,-1] 0.028 0.062 0.045
(3.25) (5.69) (4.53)
Supp Earnings[0,2] 0.019 0.036 0.025
(2.08) (3.13) (2.46)
Earnings[-3,-1] 0.098 0.046 0.042
(7.59) (4.93) (5.07)
Earnings[0,2] 0.181 0.358 0.142
(7.93) (27.74) (14.73)
News Dummy 0.037 0.200 0.134
(4.49) (23.07) (15.05)
Observations 551,911 1,022,111 1,022,111
Adj R-Squared 0.64 0.71 0.67
Firm FE Yes Yes Yes
Day of Week FE Yes Yes Yes
Year-Month FE Yes Yes Yes

36
 Table 3
Earnings Announcement Predictable Returns

This table shows coefficient estimates from clustered panel regressions of earnings announcement returns.
The sample period is 1990 to 2014 and includes all publicly traded domestic firms (share code 10 or 11) with a
publicly disclosed and publicly traded customer in the Compustat Segment files. The dependent variable is a
suppliers event-period cumulative abnormal return over the window [a,b] around its earnings announcement
date, as indicated in the column heading and is multiplied by 100 to be in basis points. In Panel A the
primary explanatory variable is Cust Abret[-65,-6], the 60-day event-period cumulative abnormal return of
a sales-weighted customer portfolio. Panel B tabulates abnormal customer returns over the interval [x,y],
as defined in the column heading. Additional tabulated controls include the stocks own lagged abnormal
return (Abret[-65,-6]), the unexpected earnings decile (UE), and industry returns for the firms industry
(Ind Abret[-65,-6]) and the customers industries (Cust Ind Abret[-65,-6]). Untabulated control variables
include MVE, Persist, Volatility, Analysts, InstOwn, BTM, Replag, Turnover, and interactions of these
control variables with UE, as well as year and month fixed effects. All continuous variables, except returns,
are winsorized at the 1st and 99th percentile and are defined in Appendix A. Standard errors are clustered
by earnings announcement date, t-statistics are in parentheses and *, **, *** indicate 10%, 5%, and 1%
two-tailed statistical significance, respectively.

CAR[a,b] = + 1 Cust Abret[65,6] + Controls + Fixed Effects + i,t

Panel A
Dep Var = CAR[-3,-1] Dep Var = CAR[0,3]
(1) (2) (3) (4) (5) (6)
Cust Abret[-65,-6] 1.174 1.146 1.111 0.122 0.086 0.038
(2.69) (2.66) (2.52) (0.30) (0.21) (0.09)
Abret[-65,-6] -0.291 -0.319 -1.271 -1.396
(-1.27) (-1.37) (-5.04) (-5.46)
UE 1.203 1.204 8.315 8.319
(9.82) (9.84) (43.88) (43.90)
Cust Ind Abret[-65,-6] -0.059 -1.159
(-0.09) (-1.24)
Ind Abret [-65,-6] 0.414 2.384
(0.70) (2.62)
Observations 33,740 33,740 33,740 33,740 33,740 33,740
Adj R-Squared 0.001 0.013 0.013 0.000 0.079 0.080
Controls & Interactions No Yes Yes No Yes Yes

37
 Panel B

Dep Var = CAR[-3,-1] Dep Var = CAR[0,3]

(1) (2) (3) (4) (5) (6) (7) (8)
[-25,-6] [-45,-6] [-65,-6] [-85,-6] [-25,-6] [-45,-6] [-65,-6] [-85,-6]
Cust Abret[x,y] 1.77 1.57 1.11 0.64 0.01 -0.07 0.04 0.25
(2.23) (2.49) (2.52) (2.09) (0.01) (-0.12) (0.09) (0.66)
Abret[x,y] -0.96 -0.48 -0.32 -0.16 -3.01 -1.59 -1.40 -1.22
(-2.06) (-1.44) (-1.37) (-0.84) (-6.08) (-4.62) (-5.46) (-5.32)
UE 1.21 1.21 1.20 1.19 8.31 8.29 8.32 8.33
(9.95) (9.68) (9.84) (9.60) (43.96) (43.62) (43.90) (44.02)
Cust Ind Abret[x,y] 0.85 0.22 -0.06 -0.22 -0.51 -0.47 -1.16 -0.73
(0.66) (0.25) (-0.09) (-0.39) (-0.31) (-0.39) (-1.24) (-0.89)
Ind Abret[x,y] 2.21 0.77 0.41 0.27 2.63 2.35 2.38 1.77
(2.01) (0.96) (0.70) (0.55) (1.84) (2.10) (2.62) (2.32)
38

Observations 33,740 33,740 33,740 33,718 33,740 33,740 33,740 33,718

Adj R-Squared 0.014 0.013 0.013 0.012 0.080 0.079 0.080 0.080
Controls & Interactions Yes Yes Yes Yes Yes Yes Yes Yes
 Table 4
Customer Search and Earnings Announcement Predictable Returns

This table shows coefficient estimates from clustered panel regressions of earnings announcement returns. The sample includes all publicly traded
domestic firms (share code 10 or 11) with a publicly disclosed and publicly traded customer in the Compustat Segment files and either Google SVI
data for the customer tickers or download data for the customers EDGAR filings. The dependent variable is a suppliers event-period cumulative
abnormal return over the window [a,b] around its earnings announcement date, as indicated in the column heading and is multiplied by 100 to be in
basis points. The primary explanatory variables are Cust Abret[x,y], the cumulative abnormal return of a sales-weighted customer portfolio over the
event window [x,y], as defined in the column header; Cust Demand[-3,-1], a measure of customer information acquisition; and the interaction of these
two variables. Cust Demand[-3,-1] is defined as abnormal downloads of the customers EDGAR filings in Panel A and Google SVI for a customers
ticker in Panel B over the three day pre-announcement window. Untabulated control variables include MVE, Persist, Volatility, Analysts, InstOwn,
BTM, Replag, Turnover, and interactions of these control variables with UE, as well as year and month fixed effects. Standard errors are clustered by
earnings announcement date, t-statistics are in parentheses, and *, **, *** indicate 10%, 5%, and 1% two-tailed statistical significance, respectively.

CAR[a,b] = + 1 Cust Abret[x,y] + 2 Cust Demand[3,1] + 3 Cust Abret[x,y] Cust Demand[3,1] + Controls + Fixed Effects + i,t

Panel A: Customer EDGAR Downloads

39

Dep Var = CAR[-3,-1] Dep Var = CAR[0,3]

(1) (2) (3) (4) (5) (6) (7) (8)
[-25,-6] [-45,-6] [-65,-6] [-85,-6] [-25,-6] [-45,-6] [-65,-6] [-85,-6]
Cust Abret[x,y] 3.78 2.82 0.94 0.45 -0.77 0.12 -0.09 0.13
(2.78) (3.00) (1.79) (0.81) (-0.49) (0.11) (-0.10) (0.15)
Cust Edgar[-3,-1] 0.05 0.05 0.05 0.05 -0.14 -0.14 -0.14 -0.14
(1.08) (1.05) (1.05) (1.06) (-1.37) (-1.34) (-1.40) (-1.38)
Cust Edgar * Cust Abret 3.07 1.08 0.42 0.24 -2.89 -2.05 -0.71 -0.10
(3.30) (1.69) (1.02) (0.68) (-2.57) (-2.39) (-0.95) (-0.16)
Abret[x,y] 0.93 0.18 -0.31 -0.09 -3.96 -2.81 -2.62 -2.16
(1.02) (0.27) (-0.89) (-0.30) (-3.40) (-3.29) (-4.17) (-4.11)
UE 0.48 0.50 0.54 0.53 10.05 10.10 10.16 10.14
(1.96) (2.08) (2.23) (2.17) (21.58) (21.40) (21.66) (21.53)
Observations 7,983 7,983 7,983 7,980 7,983 7,983 7,983 7,980
Adj R-Squared 0.014 0.011 0.006 0.006 0.104 0.104 0.105 0.104
Controls & Interactions Yes Yes Yes Yes Yes Yes Yes Yes
 Panel B: Customer Google SVI

Dep Var = CAR[-3,-1] Dep Var = CAR[0,3]

(1) (2) (3) (4) (5) (6) (7) (8)
[-25,-6] [-45,-6] [-65,-6] [-85,-6] [-25,-6] [-45,-6] [-65,-6] [-85,-6]
Cust Abret[x,y] 4.98 3.10 2.01 1.05 -0.06 1.39 0.76 1.04
(2.55) (2.19) (1.77) (1.65) (-0.04) (1.49) (1.10) (1.72)
Cust Google[-3,-1] 0.12 0.11 0.12 0.12 0.01 -0.00 0.01 0.00
(1.88) (1.68) (1.84) (1.92) (0.09) (-0.02) (0.07) (0.03)
2.91 1.07
40

Cust Google * Cust Abret 2.00 1.28 0.58 -0.30 0.74 0.86
(1.74) (1.54) (1.18) (1.80) (0.41) (-0.28) (0.85) (1.33)
Abret[x,y] 0.05 0.04 -0.75 -0.03 -3.59 -2.26 -2.18 -1.39
(0.06) (0.06) (-1.99) (-0.07) (-3.38) (-3.18) (-3.55) (-2.32)
UE 0.65 0.65 0.72 0.65 11.56 11.58 11.64 11.58
(2.76) (2.68) (3.00) (2.65) (24.87) (24.84) (24.95) (24.97)
Observations 11,337 11,337 11,337 11,332 11,337 11,337 11,337 11,332
Adj R-Squared 0.021 0.020 0.017 0.015 0.118 0.117 0.118 0.117
Controls & Interactions Yes Yes Yes Yes Yes Yes Yes Yes
 Table 5
Earnings Announcement Returns by Customer Return Quintiles

This table shows average earnings announcement returns by customer quintiles. In Panel A, each calendar
quarter I rank firms announcing earnings into quintiles according to the 60-day cumulative sales-weighted
abnormal return of their publicly disclosed customers ending on day t-6 (Cust Abret[-65,-6]) and calculate
the equal-weighted average earnings announcement returns (CAR[-3,-1] and CAR[0,2]) for each quintile
and the difference between the two extreme quintiles (High-Low). I tabulate each quintiles equal-weighted
average earnings announcement return, multiplied by 100 to be in basis points. In Panel B, each quarter
I perform independent sorts by customer return and a measure of customer information acquisition (either
abnormal EDGAR downloads or Google SVI) and calculate the equal-weighted average pre-announcement
return (CAR[-3,-1]) for each quintile and the difference between the two extreme quintiles (High-Low). T-
statistics are in parentheses and are calculated using 100 quarterly observations in Panel A, 32 quarterly
observations in the first three rows of Panel B, and 35 quarterly observations in the last three rows of Panel
B, and *, **, *** indicate 10%, 5%, and 1% two-tailed statistical significance, respectively.

Panel A: Quarterly Sorts by Customer Return

Cust Abret[-65,-6]
Q1 (Low) Q2 Q3 Q4 Q5 (High) High-Low

CAR[-3,-1] 0.325 0.348 0.366 0.432 0.753 0.427
(2.99) (3.49) (3.40) (4.21) (5.99) (3.31)

CAR[0,2] -0.153 -0.115 -0.265 0.0652 -0.195 -0.0426

(-0.98) (-0.83) (-2.20) (0.52) (-1.40) (-0.23)

Panel B: Quarterly Sorts by Customer Return and Customer Search (CAR[-3,-1])

EDGAR Downloads Google Search
(1) (2) (3) (4) (5) (6)
Low High High-Low Low High High-Low
CustAbret(Low) 0.150 -0.109 -0.259 -0.235 0.422 0.657
(0.508) (-0.371) (-0.681) (-0.952) (1.463) (2.321)
CustAbretQ2 -0.430 0.290 0.720 0.071 0.083 0.012
(-1.928) (0.678) (1.521) (0.263) (0.260) (0.035)
CustAbretQ3 0.288 0.269 -0.019 0.053 0.325 0.273
(0.850) (1.026) (-0.053) (0.153) (0.993) (0.580)
CustAbretQ4 -0.262 0.598 0.860 0.304 0.421 0.117
(-0.852) (1.713) (1.768) (1.057) (2.563) (0.426)
CustAbret(High) -0.112 0.605 0.716 0.435 0.680 0.245
(-0.462) (2.191) (1.843) (1.206) (1.940) (0.764)
High-Low -0.262 0.714 0.976 0.670 0.258 -0.412
(-0.695) (1.775) (1.860) (1.373) (0.818) (-1.054)

41
 Table 6
Announcement Month Abnormal Returns

This table shows calendar-time abnormal monthly returns by customer quintiles. At the beginning of each
month I rank all firms into quintiles according to the sales-weighted abnormal return of their publicly disclosed
customers at the end of the previous month and calculate the equal-weighted monthly excess return (raw
return less risk-free rate) for each quintile and the difference between the two extreme quintiles (High-Low).
The first section (All) tabulates five-factor alphas for each quintile using the sample of supplier-years with
exactly four earnings announcements. Specifically, I tabulate the intercept from a regression of the monthly
excess returns for each quintile on the market factor, returns from the Fama and French (1993) mimicking
portfolios, Carhart (1997) momentum factor, and Pastor and Stambaugh (2003) liquidity factor. The second
section (Non-Announcers) tabulates five-factor alphas for the sample of suppliers that did not announce
earnings during the previous month, and the final section (Announcers) tabulates results for the sample
of suppliers that announced earnings during the previous month. T-statistics are in parentheses, alphas are
in monthly percent, and *, **, *** indicate 10%, 5%, and 1% two-tailed statistical significance, respectively.

Five-Factor Monthly Alphas for Customer Return Quintiles

Sample Q1 (Low) Q2 Q3 Q4 Q5 (High) High-Low

All -0.103 0.343 0.444 0.576 0.805 0.908
(-0.53) (1.90) (2.96) (3.63) (3.85) (3.55)

Non-Announcers -0.194 0.296 0.361 0.477 0.819 1.013

(-0.87) (1.46) (1.96) (2.60) (3.73) (3.61)

Announcers -0.0573 0.444 0.571 0.588 0.634 0.691

(-0.22) (1.63) (2.25) (2.35) (1.98) (1.89)

42
 Table 7
Unanticipated Supplier Events and Customer Information Demand

This table shows coefficient estimates from clustered panel regressions of measures of information acquisition
for publicly-traded domestic firms (share code 10 or 11) identified as a customer in the Compustat Segment
files. Columns (1) and (4) analyze firms with Google SVI data between 2005 and 2013, where the dependent
variable is the log daily level of Google SVI for a firms ticker. Columns 2, 3, 5, and 6 analyze firms with
EDGAR download data between January 2003 and March 2012, where the dependent variable is the log of
total downloads + 1 (columns 2 and 5) or 10-K downloads + 1 (columns 3 and 6). The primary explanatory
variables of interest are indicators for dates around a supplier event. In columns 1-3, Supp[a,b] indicate days
relative a suppliers pseudo-event, whereas columns 4-6 indicate dates relative to a suppliers unbundled
earnings forecast date. Pseudo-events are defined as a non-earnings announcement date where a supplier
experienced above-average trading volume and the maximum absolute return within the calendar quarter.
Cust[a,b] is similarly defined for days around the firms own pseudo-events and unbundled earnings forecast
dates. News Dummy is an indicator variable equal to one if the firm was mentioned in a news article that
day and zero otherwise. All regressions include firm, month-year, and day-of-week fixed effects. Standard
errors are clustered by both firm and date. T-statistics are in parentheses and *, **, *** indicate 10%, 5%,
and 1% two-tailed statistical significance, respectively.

Demandi,t = + 1 Supp[a, b] + 2 Cust[a, b] + 3 N ews Dummy

+ Fixed Effects + i,t

Pseudo Events Earnings Forecast

(1) (2) (3) (4) (5) (6)
Google Edgar All Edgar 10-K Google Edgar All Edgar 10-K
Supp[-3,-1] 0.009 0.009 0.014 0.019 0.038 0.036
(0.82) (1.17) (1.74) (0.68) (1.87) (2.04)
Supp[0,2] 0.038 0.022 0.032 0.041 0.014 0.027
(3.07) (2.86) (4.05) (1.50) (0.82) (1.74)
Cust[-3,-1] -0.015 0.036 0.031 0.063 -0.014 0.006
(-1.30) (3.61) (3.10) (2.18) (-0.62) (0.31)
Cust[0,2] 0.069 0.127 0.085 0.075 0.058 0.054
(5.23) (13.02) (9.91) (2.56) (2.59) (2.82)
News Dummy 0.049 0.228 0.145 0.051 0.177 0.104
(5.85) (25.99) (16.51) (3.68) (16.95) (11.76)
Observations 551,911 1,022,111 1,022,111 74,678 187,950 187,950
Adj R-Squared 0.64 0.71 0.67 0.57 0.74 0.71
Firm FE Yes Yes Yes Yes Yes Yes
Day of Week FE Yes Yes Yes Yes Yes Yes
Year-Month FE Yes Yes Yes Yes Yes Yes

43
 Table 8
Unanticipated Supplier Events and Predictable Returns

This table shows coefficient estimates from clustered panel regressions of abnormal returns around
pseudo-event dates and unbundled earnings forecast dates. The sample period is 1990 to 2014
and includes all publicly traded domestic firms (share code 10 or 11) with a publicly disclosed and
publicly traded customer in the Compustat Segment files. The dependent variable is a suppliers
event-period cumulative abnormal return over the window [a,b] (as indicated in the column heading)
around either a suppliers pseudo-event date (columns 1 and 2) or unbundled earnings forecast
date (columns 3 and 4) and is multiplied by 100 to be in basis points. Pseudo-event dates are
defined as the non-earnings-announcement date each quarter with the maximum absolute return
and above-average trading volume. The primary explanatory variable is Cust Abret[-65,-6], the
60-day event-period cumulative abnormal return of a sales-weighted customer portfolio. Additional
tabulated controls include the stocks own lagged abnormal return (Abret[-65,-6]) and industry
returns for the firms industry (Ind Abret[-25,-6]) and the customers industries (Cust Ind Abret[-
25,-6]). Untabulated control variables include MVE, Persist, Volatility, Analysts, InstOwn, BTM,
Turnover, as well as year and month fixed effects. All continuous variables, except returns, are
winsorized at the 1st and 99th percentile and are defined in Appendix A. Standard errors are
clustered by earnings announcement date, t-statistics are in parentheses and *, **, *** indicate
10%, 5%, and 1% two-tailed statistical significance, respectively.

CAR[a,b] = + 1 Cust Abret[65,6] + Controls + Fixed Effects + i,t

Pseudo Events Earnings Forecast

(1) (2) (3) (4)
CAR[-3,-1] CAR[0,2] CAR[-3,-1] CAR[0,2]
Cust Abret[-65,-6] 0.195 1.935 -0.946 1.492
(0.46) (2.26) (-0.77) (0.73)
Abret[-65,-6] 0.521 -3.573 2.166 5.271
(1.82) (-5.63) (3.03) (3.74)
Cust Ind Abret[-25,-6] 2.988 -0.018 1.587 -3.415
(3.61) (-0.01) (0.74) (-0.87)
Ind Abret [-65,-6] 2.494 4.952 0.420 0.974
(3.11) (3.23) (0.25) (0.30)
Observations 32,965 32,965 3,064 3,064
Adj R-Squared 0.014 0.081 0.029 0.070
Controls Yes Yes Yes Yes

44