| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11683 |
| 来源ID | Working Paper 11683 |
| Investor Inattention, Firm Reaction, and Friday Earnings Announcements | |
| Stefano DellaVigna; Joshua Pollet | |
| 发表日期 | 2005-10-10 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays. In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements. These findings suggest that weekends distract investor attention temporarily. They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention. We also document that firms release worse announcements on Friday. Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return. The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday. The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention. |
| 主题 | Financial Economics ; Financial Markets ; Corporate Finance ; Labor Economics |
| URL | https://www.nber.org/papers/w11683 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569329 |
| 推荐引用方式 GB/T 7714 | Stefano DellaVigna,Joshua Pollet. Investor Inattention, Firm Reaction, and Friday Earnings Announcements. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11683.pdf（479KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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