Economic uncertainty and investor attention

• 成果类型: Article
• 署名作者: Andrei, Daniel; Friedman, Henry; Ozel, N. Bugra
• 署名单位: McGill University; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.05.003
• 发表日期: 2023
• 页码: 179-217
• 关键词: INVESTOR ATTENTION; Economic uncertainty; earnings announcements; CAPM

摘要

This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms' characteristics. The model shows that heightened economic uncer-tainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earn-ings announcements. Moreover, heightened investor attention caused by high economic uncertainty leads to a steeper CAPM relation and higher betas for announcing firms. Em-pirical analyses using firm-level attention measures and CAPM tests on high-versus low -attention days support the model's predictions.(c) 2023 Elsevier B.V. All rights reserved.