Local Investor Attention and Post-Earnings Announcement Drift
Review of Quantitative Finance and Accounting
Original Item ID
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.
Wang, Bin; Choi, Wonseok; and Siraj, Ibrahim, "Local Investor Attention and Post-Earnings Announcement Drift" (2018). Finance Faculty Research and Publications. 161.
Review of Quantitative Finance and Accounting, Vol. 51 (2018): 219-252. DOI.