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.
Download or read book Investor Inattention Firm Reaction and Friday Earning 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.
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:
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.
Download or read book Two Essays on Investor Distraction written by Erdem Ucar and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I find stronger post-earnings announcement drift and delayed response ratio, and weaker immediate volume reaction, when the earnings announcing firm's local investors' sports mood is inconsistent with the earnings news' content (good vs. bad). This effect strengthens with firm's proximity to the location of the mood source. In my secon essay titled "Post-Earnings Announcement and Religious Holidays", I show the role of culture, proxied by religion, in financial information processing and the impact of culture on financial outcomes through investor inattention. I examine whether and how the religious holiday calendar affects investors' information processing by investigating price reactions to U.S. firms' earnings announcements that occur during Easter week. I find different patterns for short-term and delayed responses to Easter week earnings surprises. Moreover, there is a stronger immediate (delayed) reaction to good (bad) news, primarily found in less religious, predominantly Protestant areas. The results are consistent with a religion-induced investor distraction effect. The findings also show the role of religious characteristics in firms' information environment and the locality of stock prices.
Download or read book Investor Inattention and the Post earnings Announcement Drift Evidence from Switzerland written by Sarah Suter and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Earlier studies on earnings numbers have discovered a market anomaly which could not be explained by flaws in the applied research design. They claim that stock prices do not incor-porate earnings news immediately, as suggested by the efficient market theory, but tend to drift into the direction of the unexpected earnings after an earnings announcement. In addi-tion, this effect seems to be stronger if investors are distracted by competing announcements at the announcement date. Based on Swiss earnings and stock price data, this paper analyses whether unexpected earnings are followed by cumulative abnormal stock returns. I find post-earnings announcement drift that increases with the magnitude of the earnings surprise. By comparing immediate and delayed market reaction and post-earnings announcement drift on high-news and low-news days, this study examines the effect of investor inattention on post-earnings announcement drift. The findings are consistent with lower immediate market re-sponse and stronger drift when investors are distracted.
Download or read book Trading on Corporate Earnings News written by John Shon and published by Financial Times/Prentice Hall. This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades--in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies' quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks-and, in some cases, conduct large sample tests-to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
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.
Download or read book Post Earnings Announcement Drift written by Tomas Tomcany and published by LAP Lambert Academic Publishing. This book was released on 2010-11 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is a well documented finding in finance theory that share prices drift in the direction of firms' unexpected earnings changes, a phenomenom known as post-earnings announcement drift, or earnings momentum. In this book, I study the stock prices' reaction to firms' quarterly earnings announcements. The book shows that the timeframe in which the drift occurs is related to the size of a firm and is limited in time after the earnings announcement. I further analyze the effect of the number of analysts covering a firm on the magnitude and persistance of post-earnings announcement drift. I document that recent analyst coverage predicts large drifts after the earnings announcements. I suggest several possible explanations, but the evidence seems most consistent with recent analyst coverage providing information about investor (or analyst) expectations regarding firm's future earnings. This book should be useful to professionals in Financial Economics, especially to those interested in Behavioral Finance in stock markets, but also to equity analysts, traders or investors interested in the stocks' response to earnings news.
Download or read book Investor Inattention and Under Reaction to Repurchase Announcements written by Lee-Young Cheng and published by . This book was released on 2019 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates investor inattention as a plausible explanation for market reaction to repurchase announcements. We use prior turnover as the proxy for investor attention to examine the difference in stock price performance between low-attention stocks and high-attention stocks. We find that low prior turnover firms experience greater under-reaction to repurchase announcements than high prior turnover firms. Low prior turnover firms also experience larger positive long-run excess returns following announcements. Furthermore, higher level of investor's inattention leads to higher degree of under-reactions, resulting in higher actual completion rates.
Download or read book Driven to Distraction written by David A. Hirshleifer and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Psychological evidence indicates that it is hard to process multiple stimuli and perform multiple tasks at the same time. This paper tests the investor distraction hypothesis, which holds that the arrival of extraneous news causes trading and market prices to react sluggishly to relevant news about a firm. Our test focuses on the competition for investor attention between a firm's earnings announcements and the earnings announcements of other firms. We find that the immediate stock price and volume reaction to a firm's earnings surprise is weaker, and post-earnings announcement drift is stronger, when a greater number of earnings announcements by other firms are made on the same day. Distracting news has a stronger effect on firms that receive positive than negative earnings surprises. Industry-unrelated news has a stronger distracting effect than related news. A trading strategy that exploits post-earnings announcement drift is unprofitable for announcements made on days with little competing news.Presentation Slides: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3195322.
Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by Newnes. This book was released on 2013-02-08 with total page 859 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 11 articles in this first of two parts, top scholars summarize and analyze recent scholarship in corporate finance. Covering subjects from corporate taxes to behavioral corporate finance and econometric issues, their articles reveal how specializations resonate with each other and indicate likely directions for future research. By including both established and emerging topics, Volume 2 will have the same long shelf life and high citations that characterize Volume 1 (2003). Presents coherent summaries of major finance fields, marking important advances and revisions Describes the best corporate finance research created about the 2008 financial crises Exposes readers to a wide range of subjects described and analyzed by the best scholars
Download or read book Handbook of Financial Decision Making written by Gilles Hilary and published by Edward Elgar Publishing. This book was released on 2023-08-14 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible Handbook provides an essential entry point for those with an interest in the increasingly complex subject of financial decision making. It sheds light on new paradigms in society and the ways that new tools from private actors have affected financial decision making. Covering a broad range of key topics in the area, leading researchers summarize the state-of-the-art in their respective areas of expertise, delineating their projections for the future.
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Download or read book Opportunity Knocks But Once written by Yifan Li and published by . This book was released on 2019 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We define a delayed disclosure ratio (DD) as the fraction of 10-Q financial statement items that are withheld at the earlier quarterly earnings announcement. We find that higher DD firms have a greater delay in investor and analyst response to earnings surprises: (i) the fraction of total market reaction to quarterly earnings news realized around the earnings announcement (after the 10-Q filing) is smaller (greater), and (ii) analysts are more likely to defer issuing forecasts from immediately after the earnings announcement to after the 10-Q filing. Consistent with our limited attention model predictions, the response catch-up associated with DD is incomplete even after the delayed items are fully disclosed at the 10-Q filing date, and persists until the next earnings announcement date. The return reaction to earnings news over the entire quarter does not vary with DD, so differences in earnings informativeness do not explain the DD effect. Our findings suggest that, for limited attention effects to be mitigated, the timing of disclosures must be coincident with the focal periods--at earnings announcement dates--when investors and analysts are paying the most attention.
Download or read book Beyond Market Mood written by Nikolaos Karampatsas and published by . This book was released on 2018 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique database this study establishes a relationship between firm-specific investor sentiment and stock price movements around earnings announcements. We find that firm-specific investor sentiment is a key determinant of price adjustment in the context of an earnings surprise. Unsurprisingly, the effect of firm-specific investor sentiment dominates the effect of market-wide sentiment. We also provide evidence that the effect of firm-specific investor sentiment is more pronounced for stocks that are hard to value and difficult to arbitrage and stock price reactions are most marked for stocks with negative earnings announcements. Further we find evidence of mispricing and return reversals over the days following an earnings surprise.
Download or read book Are Friday Announcements Special Overcoming Selection Bias written by Roni Michaely and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, open-market share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias, there is no evidence that investors pay less attention to announcements made on Fridays relative to other weekdays. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics.
