Macro News and Micro News: Complements or Substitutes?

David Hirshleifer and Jinfei Sheng

MPRA Paper from University Library of Munich, Germany

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.

Keywords: macro news; earnings announcements; market efficiency; investor attention; information transmission; complementary relationship (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 (search for similar items in EconPapers)
Date: 2016-12-28, Revised 2021-06-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/108224/1/MPRA_paper_108224.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/109311/8/MPRA_paper_109311.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/110042/8/MPRA_paper_109311.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/110042/15/MPRA_paper_110042.pdf revised version (application/pdf)

Related works:
Journal Article: Macro news and micro news: Complements or substitutes? (2022)
Working Paper: Macro News and Micro News: Complements or Substitutes? (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:108224

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().