Macro News and Micro News: Complements or Substitutes?

David Hirshleifer and Jinfei Sheng

No 28931, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study how the arrival of macro-news affects the stock market’s ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings announcements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days. This suggests a complementary relationship between macro and micro news that is consistent with either investor attention or information transmission channels.

JEL-codes: E44 G02 G12 G14 G4 (search for similar items in EconPapers)
Date: 2021-06
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (4)

Published as David Hirshleifer & Jinfei Sheng, 2021. "Macro news and micro news: Complements or substitutes?," Journal of Financial Economics, .

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Journal Article: Macro news and micro news: Complements or substitutes? (2022)
Working Paper: Macro News and Micro News: Complements or Substitutes? (2021)
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