Attention to Market Information and Underreaction to Earnings on Market Moving Days
Attention to Market Information and Underreaction to Earnings on Market Moving Days
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关注市场信息，对市场波动日的盈利反应不足
DOI：
10.1017/s0022109018001254
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发表时间：
2018
影响因子：
3.9
通讯作者：
Badrinath Kottimukkalur
中科院分区：
文献类型：
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作者：
Badrinath Kottimukkalur
在市场回报率较高的日子发布财报的公司，财报后漂移（PEAD）更强。在控制了先前记录的因素（例如周五发布、同时发布的数量和价格延迟衡量标准）后，这种漂移仍然强劲。负收益意外推动了这种漂移，这种漂移在小型股票、价值股和分析师关注度较低的股票中更为明显。分析师对盈利的反应较慢是造成这种变化的原因之一。这些发现与投资者由于注意力限制而更加关注市场信息而较少关注公司特定信息相一致。
Post-earnings announcement drift (PEAD) is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure. Negative earnings surprises drive this drift, and the drift is more pronounced among small stocks, value stocks, and stocks that have low analyst following. Slower analyst response to earnings contributes to the drift. These findings are consistent with investors paying more attention to market information and less attention to firm-specific information due to attention constraints.