Driven to Distraction: Extraneous Events and Underreaction to Earnings News

• 成果类型: Article
• 署名作者: Hirshleifer, David; Lim, Sonya Seongyeon; Teoh, Siew Hong
• 署名单位: University of California System; University of California Irvine; DePaul University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01501.x
• 发表日期: 2009
• 页码: 2289-2325
• 关键词: ANNOUNCEMENT DRIFT; stock-prices; INFORMATION; attention; Timeliness; returns

摘要

Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The investor distraction hypothesis holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post-announcement drift much stronger, when a greater number of same-day earnings announcements are made by other firms. We evaluate the economic importance of distraction effects through a trading strategy, which yields substantial alphas. Industry-unrelated news and large earnings surprises have a stronger distracting effect.