Local investor attention and post-earnings announcement drift

Bin Wang, Won Seok Choi, Ibrahim Siraj

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

Abstract

We show that local investor attention, as a proxy for the arrival rate of informed trading, has an impact on post-earnings announcement drift. Measured by monthly abnormal Google search volume before the earnings announcement, high (low) local investor attention is associated with weak (strong) delayed market reaction to the earnings announcement and strong (weak) abnormal trading volume in the pre-earnings announcement period. The evidence documented in this paper supports both “rational structural uncertainty” and attention allocation theories that argue that information distribution among investors plays an important role in explaining market anomalies.

Original languageEnglish
Pages (from-to)219-252
Number of pages34
JournalReview of Quantitative Finance and Accounting
Volume51
Issue number1
DOIs
StatePublished - 1 Jul 2018

Fingerprint

Investors
Earnings announcements
Post-earnings announcement drift
Market reaction
Google
Market anomalies
Trading volume
Informed trading
Uncertainty

Keywords

  • Geographic proximity
  • Google search
  • Information advantages
  • Local attention
  • Post-earnings announcement drift

Cite this

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Local investor attention and post-earnings announcement drift. / Wang, Bin; Choi, Won Seok; Siraj, Ibrahim.

In: Review of Quantitative Finance and Accounting, Vol. 51, No. 1, 01.07.2018, p. 219-252.

Research output: Contribution to journalArticleResearchpeer-review

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