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Earnings Notifications Investor Attention And The Earnings Announcement Premium
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Book Synopsis Earnings Notifications, Investor Attention, and the Earnings Announcement Premium by : Kimball Chapman
Download or read book Earnings Notifications, Investor Attention, and the Earnings Announcement Premium written by Kimball Chapman and published by . This book was released on 2018 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Limited Investor Attention And The Earnings Announcement Premium by : Kimball Chapman
Download or read book Limited Investor Attention And The Earnings Announcement Premium written by Kimball Chapman and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the extent to which limited investor attention explains positive average stock returns around earnings announcements. I observe positive abnormal returns on days when firms announce the date earnings will be released (earnings notification days) and lower returns around earnings announcements when firms begin providing earnings notifications. I find a similar effect for other highly-visible news events occurring soon before earnings announcements and higher returns around earnings announcements and when retail investors are more actively acquiring information about the firm. My results suggest that the attention-grabbing effect of earnings announcements provides a partial explanation of positive average returns around earnings announcements.
Book Synopsis Sophisticated Investor Attention and Market Reaction to Earnings Announcements by : Ruihai Li
Download or read book Sophisticated Investor Attention and Market Reaction to Earnings Announcements written by Ruihai Li and published by . This book was released on 2019 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The SEC's EDGAR log files provide a direct, powerful measure of attention from relatively sophisticated investors. We apply this measure to a sample of earnings announcements from 2003 to 2016. We find that the stock market is less surprised, and the post-earnings-announcement drift is weaker for earnings announcements receiving more pre-announcement investor attention, measured in downloads by humans from EDGAR. We further show that it is profitable to utilize the different drift patterns. An attention-based portfolio without the SEC reporting lag that longs stocks with the lowest investor attention and most positive earnings surprises and shorts stocks with the lowest attention and most negative earnings surprises generates a statistically significant monthly alpha of 1.24% after adjusting for standard asset pricing factors.
Book Synopsis The Earnings Announcement Premium and Trading Volume by : Owen A. Lamont
Download or read book The Earnings Announcement Premium and Trading Volume written by Owen A. Lamont and published by . This book was released on 2007 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
Book Synopsis Investor Attention and the Pricing of Earnings News by : Asher Curtis
Download or read book Investor Attention and the Pricing of Earnings News written by Asher Curtis and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether investor attention is associated with the pricing (and mispricing) of earnings news where investor attention is measured using social media activity. We find that high levels of investor attention are associated with greater sensitivity of earnings announcement returns to earnings surprises, with the effect being strongest for firms that beat analysts' forecasts. This appears to be appropriate pricing, on average, as only firms with low levels of attention are associated with significant post-earnings-announcement drift. Our results are distinct from other information sources including traditional media outlets, financial blogs, and internet search engine activity. Our results are consistent with investor attention observed in social media activity having distinct effects on the pricing and mispricing of earnings news.
Book Synopsis Why Are Earnings Announcements So Important to Traders and Investors? by : John Shon
Download or read book Why Are Earnings Announcements So Important to Traders and Investors? written by John Shon and published by Pearson Education. This book was released on 2011-03-16 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element is an excerpt from Trading on Corporate Earnings News: Profiting from Targeted, Short-Term Options Positions (9780137084920) by John Shon, Ph.D., and Ping Zhou, Ph.D. Available in print and digital formats. Understand those crucial quarterly earning announcements: how they work, and how they impact stock prices. Quarterly earnings announcement are the most salient, most anticipated, regularly-recurring announcement that companies make. They are the most watched piece of information that comes directly from the people that know the business the best. They are also considered the most reliable source of information, largely because companies are subject to strict SEC Rule 10b-5 rules...
Book Synopsis Media Coverage and Investors' Attention to Earnings Announcements by : Joel Peress
Download or read book Media Coverage and Investors' Attention to Earnings Announcements written by Joel Peress and published by . This book was released on 2016 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Does investors' inattention contribute to the post-earnings announcement drift? I study this question using media coverage as a proxy for attention. I compare announcements made by the same firm in the same year and generating the same earnings surprise, when one announcement is covered in the Wall Street Journal while the other is not. I find that announcements with media coverage generate a stronger price and trading volume reaction at the time of the announcement and less subsequent drift. Moreover, this effect is less pronounced for more visible firms and on high-distraction days. These results are both economically and statistically strong. They lend support to the notion that limited attention is an important source of friction in financial markets.
Book Synopsis Earnings Announcement Promotions by : Alastair Lawrence
Download or read book Earnings Announcement Promotions written by Alastair Lawrence and published by . This book was released on 2019 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study presents a field experiment we conducted in which media articles for a random sample of firms with earnings announcements are promoted to a one percent subset of Yahoo Finance users. The promoted firms have similar fundamental and earnings-news characteristics as control firms, yet we find that promoted firms have higher abnormal returns on the day of the earnings announcement, and some evidence of lower bid-ask spreads. Moreover, these results are more pronounced for less visible firms, negative earnings news, and on days with fewer promoted firms. We do not find evidence of significant increases in trading volume, or of information acquisition by users subject to the promotion. These findings suggest that investor attention affects the pricing of earnings and that retail investors buy stocks that catch their attention, in a setting where attention is randomly assigned.
Book Synopsis Yahoo Finance Search and Earnings Announcements by : Alastair Lawrence
Download or read book Yahoo Finance Search and Earnings Announcements written by Alastair Lawrence and published by . This book was released on 2016 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use Yahoo Finance search to examine the effects of investor attention at earnings announcements. We find that Yahoo Finance search at earnings announcements is a major factor explaining earnings responses and is predictive of subsequent returns. Moreover, we show that other measures of investor attention (e.g., Google search, EDGAR search) are less informative in explaining earnings responses and subsequent returns. The findings suggest the importance of investor attention, and in particular, retail attention in the pricing of financial information.
Book Synopsis Aggregate Market Attention Around Earnings Announcements by : Abdullah Kumas
Download or read book Aggregate Market Attention Around Earnings Announcements written by Abdullah Kumas and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examined the relation between the volume of earnings disclosures by firms and aggregate stock market trading activity. Although the relation between the trading activity experienced by disclosing firms and announcement volume is negative, consistent with the firm level evidence of Hirschleifer et al. (2009a), the relations between number of announcements and both overall trading and non-announcer volume are positive. Hence, while it is true that high numbers of announcement distract investor attention within the set of announcing firms, it is also true that investor attention to the market as a whole (i.e., aggregate attention) increases with number of announcements. Results also showed that the average aggregate surprise content of the announced earnings has a negative impact on overall volume. Finally, the strong positive relation between aggregate attention and number of announcements is mainly driven by large announcers.
Book Synopsis Aggregate Market Attention and Earnings Announcements by : Abdullah Kumas
Download or read book Aggregate Market Attention and Earnings Announcements written by Abdullah Kumas and published by . This book was released on 2013 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the relation between the volume of earnings disclosures by firms and aggregate stock market trading activity. Although the relation between the trading activity experienced by disclosing firms and announcement volume is negative, consistent with the firm level evidence of Hirschleifer et al. (2009a), the relations between number of announcements and both overall trading and non-announcer volume are positive. Hence, while it is true that high numbers of announcement distract investor attention within the set of announcing firms, it is also true that investor attention to the market as a whole (i.e., aggregate attention) increases with number of announcements. Results also show that the average aggregate surprise content of the announced earnings has a negative impact on overall volume. The strong positive relation between aggregate attention and number of announcements is mainly driven by large announcers. Finally, the arrival of a greater number of negative earnings surprises distracts investor attention from the announcers, and the aggregate market attention is equally attracted by positive and negative numbers of news.
Download or read book Total Attention written by Linda H. Chen and published by . This book was released on 2018 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show evidence that consistent with category-learning behavior, investors allocate more attention to macroeconomic news than to firm-specific news, such as earnings announcements. Despite the distracting effect of macroeconomic news on investor attention, we find that earnings announcements with concurrent macroeconomic news announcements actually have significantly stronger immediate market response and weaker post-earnings announcement drift. We hypothesize that the combined total attention to macroeconomic news and earnings announcements helps investors understand both the systematic and firm-specific components of earnings surprises. Consistent with the hypothesis, our results show that the macroeconomic news effect is mainly driven by firms with high exposure to macroeconomic news. Moreover, we show that the effect is stronger when macroeconomic news contains more information and for firms with greater information uncertainty. Finally, we provide evidence that macroeconomic news helps reduce stock return uncertainty and enhance stock price efficiency.
Book Synopsis Investor Inattention, Firm Reaction, and Friday Earnings Announcements by : Stefano Della Vigna
Download or read book Investor Inattention, Firm Reaction, and Friday Earnings Announcements written by Stefano Della Vigna and published by . This book was released on 2005 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays. In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements. These findings suggest that weekends distract investor attention temporarily. They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention. We also document that firms release worse announcements on Friday. Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return. The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday. The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention.
Book Synopsis Investor Inattention, Firm Reaction, and Friday Earnings Announcements by :
Download or read book Investor Inattention, Firm Reaction, and Friday Earnings Announcements written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investor Information Demand by : Michael S. Drake
Download or read book Investor Information Demand written by Michael S. Drake and published by . This book was released on 2014 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this study is to investigate factors that influence investor information demand around earnings announcements and to provide insights into how variation in information demand impacts the capital market response to earnings. The internet is one channel through which public information is disseminated to investors and we propose that one way that investors express their demand for public information is via Google searches. We find that abnormal Google search increases about two weeks prior to the earnings announcement, spikes markedly at the announcement, and continues at high levels for a period after the announcement. This finding suggests that information diffusion is not instantaneous with the release of the earnings information, but rather is spread over a period surrounding the announcement. We also find that information demand is positively associated with media attention and news, and is negatively associated with investor distraction. When investors search for more information in the days just prior to the announcement, pre-announcement price and volume changes reflect more of the upcoming earnings news and there is less of a price and volume response when the news is announced. This result suggests that when investors demand more information about a firm, the information content of the earnings announcement is partially preempted.
Book Synopsis Strategic Release of Information on Friday by : Stefano DellaVigna
Download or read book Strategic Release of Information on Friday written by Stefano DellaVigna and published by . This book was released on 2005 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do firms time the release of news in response to investor inattention? We consider news about earnings and analyze the reaction of investors to announcements on Friday and on other weekdays. The day of the week for the announcement has two main effects on stock returns. First, the short-term response to Friday earnings announcements is 20 percent smaller than the response on other days of the week. Second, the post-earnings drift is 70 percent larger for Friday announcements. These stylized facts suggest that weekends distract investor attention temporarily. Consistent with this interpretation, trading volume around announcement day increases 20 percent less for Friday than for non-Friday announcements. The empirical evidence supports models of post-earning announcement drift based on underreaction to information due to cognitive constraints. We also show that firms appear to respond to investor distraction by releasing worse announcements on Friday. Friday releases are associated with a 25 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal stock return. Finally, we document a similar pattern of strategic behavior for political decisions. The US President is 25 percent less likely to sign executive orders or legislation containing good news on Friday.
Book Synopsis It Depends on Where You Search by : Azi Ben-Rephael
Download or read book It Depends on Where You Search written by Azi Ben-Rephael and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured using Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements where institutional investors fail to pay sufficient attention.
