Earnings notifications, investor attention, and the earnings announcement premium

• 成果类型: Article
• 署名作者: Chapman, Kimball
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2018.05.002
• 发表日期: 2018
• 关键词: CONFERENCE CALLS; news; determinants; habituation; disclosure; BEHAVIOR

摘要

This paper provides new evidence that investor attention explains positive returns around earnings announcements and reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which are attention-grabbing announcements of the upcoming earnings date but otherwise provide little new information. I find positive returns, more EDGAR searches, and higher trading volumes on notification days. I also find that attention and returns around the earnings announcement are lower in the presence of notifications, consistent with notifications attenuating investor attention. I show that attention has its strongest effect on returns in the days immediately following the earnings announcement.