Investor Inattention and Friday Earnings Announcements

• 成果类型: Article
• 署名作者: Dellavigna, Stefano; Pollet, Joshua M.
• 署名单位: University of California System; University of California Berkeley; Emory University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01447.x
• 发表日期: 2009
• 页码: 709-749
• 关键词: stock-prices; INFORMATION; attention; news; underreaction; returns; MARKET; RISK

摘要

Does limited attention among investors affect stock returns ? We compare the response to earnings announcements on Friday, when investor inattention is more likely, to the response on other weekdays. If inattention influences stock prices, we should observe less immediate response and more drift for Friday announcements. Indeed, Friday announcements have a 15% lower immediate response and a 70% higher delayed response. A portfolio investing in differential Friday drift earns substantial abnormal returns. In addition, trading volume is 8% lower around Friday announcements. These findings support explanations of post-earnings announcement drift based on underreaction to information caused by limited attention.