Retail attention on earnings announcement days: Evidence from social media

Qiuye Cai and Kenneth Yung

Journal of Behavioral and Experimental Finance, 2024, vol. 43, issue C

Abstract: We develop a novel direct measure of abnormal retail attention using tweet frequency on StockTwits. Contrary to prior evidence, our results show that firm-level abnormal retail attention is only slightly diminished by market-level abnormal retail attention.More importantly, we find that firm-level abnormal retail attention enhances the immediate incorporation of earnings information in share prices and alleviates post earnings announcement drift. Unlike prior studies that usually consider retail investors uninformed and play no role in price discovery, our results suggest that the proliferation of inexpensive techniques for information gathering nowadays makes the role played by retail investors in capital markets increasingly important.

Keywords: Retail investor attention; Abnormal firm-level retail attention; Abnormal market-level retail attention; Post earnings announcement drift; Earnings announcements; Macro news (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:43:y:2024:i:c:s221463502400073x

DOI: 10.1016/j.jbef.2024.100958

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