Local Investor Attention and Post-Earnings Announcement Drift

Authors

Bin Wang, Marquette UniversityFollow
Wonseok Choi, The University of Texas Rio Grande Valley
Ibrahim Siraj, Long Island University

Document Type

Article

Publication Date

2018

Publisher

Springer

Source Publication

Review of Quantitative Finance and Accounting

Source ISSN

0924-865X

Original Item ID

10.1007/s11156-017-0669-2

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.

Comments

Review of Quantitative Finance and Accounting, Vol. 51 (2018): 219-252. DOI.

Recommended Citation

Wang, Bin; Choi, Wonseok; and Siraj, Ibrahim, "Local Investor Attention and Post-Earnings Announcement Drift" (2018). Finance Faculty Research and Publications. 161.
https://epublications.marquette.edu/fin_fac/161