Aggregate Market Attention Around Earnings Announcements

50 Pages Posted: 19 May 2014

See all articles by William M. Cready

William M. Cready

University of Texas at Dallas - Naveen Jindal School of Management

Abdullah Kumas

University of Richmond - Robins School of Business

Date Written: May 18, 2014

Abstract

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.

Keywords: Earnings Announcement, Attention Hypothesis, Information Transfer Hypothesis and Trading Volume

JEL Classification: G02, G14

Suggested Citation

Cready, William M. and Kumas, Abdullah, Aggregate Market Attention Around Earnings Announcements (May 18, 2014). Available at SSRN: https://ssrn.com/abstract=2438458 or http://dx.doi.org/10.2139/ssrn.2438458

William M. Cready

University of Texas at Dallas - Naveen Jindal School of Management ( email )

P.O. Box 830688
Richardson, TX 75083-0688
United States

Abdullah Kumas (Contact Author)

University of Richmond - Robins School of Business ( email )

28 westhampton way
Richmond, VA virginia 23173
United States

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