Driven to Distraction: Extraneous Events and Underreaction to Earnings News

被引：768

作者：

Hirshleifer, David ^{[1
]}

Lim, Sonya Seongyeon ^{[2
]}

Teoh, Siew Hong ^{[1
]}

机构：

[1] Univ Calif Irvine, Paul Merage Sch Business, Irvine, CA 92717 USA

[2] Depaul Univ, Kellstadt Grad Sch Business, Dept Finance, Chicago, IL 60604 USA

来源：

JOURNAL OF FINANCE | 2009年 / 64卷 / 05期

关键词：

ANNOUNCEMENT DRIFT; STOCK-PRICES; INFORMATION; ATTENTION; TIMELINESS; RETURNS;

D O I：

10.1111/j.1540-6261.2009.01501.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The investor distraction hypothesis holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post-announcement drift much stronger, when a greater number of same-day earnings announcements are made by other firms. We evaluate the economic importance of distraction effects through a trading strategy, which yields substantial alphas. Industry-unrelated news and large earnings surprises have a stronger distracting effect.

引用

页码：2289 / 2325

页数：37

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