Macro news and micro news: Complements or substitutes?

• 成果类型: Article
• 署名作者: Hirshleifer, David; Sheng, Jinfei
• 署名单位: University of Southern California; University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.09.012
• 发表日期: 2022
• 页码: 1006-1024
• 关键词: Macro news; earnings announcements; market efficiency; investor attention; Complementary relationship

摘要

We study how the arrival of macro-news affects the stock market's ability to incorpo-rate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings an-nouncements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days. This suggests a complementary relationship between macro and micro news that is consistent with either investor attention or information transmission channels.(c) 2021 Elsevier B.V. All rights reserved.