Unexpected distractions and investor attention to corporate announcements

• 成果类型: Article
• 署名作者: Israeli, Doron; Kasznik, Ron; Sridharan, Suhas A.
• 署名单位: Reichman University; Nazarbayev University; Stanford University; Emory University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-021-09618-4
• 发表日期: 2022
• 页码: 477-518
• 关键词: market equilibrium; limited attention; earnings; INFORMATION; disclosure; search; news; underreaction; aggregation; voluntary

摘要

We investigate how unexpected distractions affect investor reactions to corporate earnings announcements. We use a daily news pressure (DNP) index as a proxy for the presence of potential investor distraction. Since breaking news captured by this index is largely unpredictable and unrelated to investors' valuation decisions, our research design offers a unique opportunity to examine investor attention in the absence of strategic timing of announcements by managers. Using overall trading volume and Google searches as measures of investor attention, we find that investors are susceptible to distractions in their reactions to earnings announcements. We further find that DNP measures a form of distraction that affects retail but not institutional investors. Furthermore, in contrast to prior research that employs predictable measures of distraction, we find that price reactions to earnings announcements are not affected by unexpected distractions. Our results reveal that unexpected distractions reduce the attention of retail investors to earning announcements but do not necessarily lead to observable pricing effects.