Earnings announcements and attention constraints: The role of market design

• 成果类型: Article
• 署名作者: Chakrabarty, Bidisha; Moulton, Pamela C.
• 署名单位: Cornell University; Saint Louis University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2012.01.001
• 发表日期: 2012
• 关键词: rational inattention; ANALYSTS FORECASTS; empirical-analysis; limited attention; stock returns; INFORMATION; liquidity; expectations; prices; time

摘要

We identify a new channel - market makers' attention constraints - through which earnings announcements for one stock affect the liquidity of other stocks. When some stocks handled by a designated market maker have earnings announcements, liquidity is lower for non-announcement stocks handled by the same market maker, with the largest effects coming from earnings surprises and stocks with high earnings response coefficients. Half of the liquidity decline reflects attention constraints binding on the individual market maker, and the other half is explained by the market maker's inventory. We further find that a market design change that increases automation alleviates the liquidity effect of attention constraints, despite an increase in the number of stocks allocated to each market maker. (c) 2012 Elsevier B.V. All rights reserved.