Aggregate Market Attention Around Earnings Announcements
50 Pages Posted: 19 May 2014
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: Suggested Citation