Macroeconomic Information Acquisition around Earnings Clusters
50 Pages Posted: 13 Apr 2021 Last revised: 2 Oct 2023
Date Written: September 2023
Abstract
Recent literature documents that the time structure of information arrival through earnings announcements has important implications for asset prices. We show that one possible reason for this relation is the interaction between the time structure of information release by firms and macro information acquisition by investors. We document that investors acquire relatively more macro information during earnings clusters - days when many firms announce earnings contemporaneously - relative to non-cluster days. We further show that on these days, investors trade to adjust their exposure to the macroeconomy, and aggregate uncertainty declines. Finally, evidence indicates that our findings arise from two mechanisms: earnings clusters serving as conduits of macro information that trigger investors' attention toward the macroeconomy, and earnings clusters straining investors' attention capacity, thus inducing a reallocation of attention from firm-specific to aggregate information.
Keywords: Earnings Announcements, Information Acquisition, Macro Information.
JEL Classification: D81, D83, E44, G11, G14, M41
Suggested Citation: Suggested Citation