Earnings notifications, investor attention, and the earnings announcement premium

Kimball Chapman

Journal of Accounting and Economics, 2018, vol. 66, issue 1, 222-243

Abstract: This paper provides new evidence that investor attention explains positive returns around earnings announcements and reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which are attention-grabbing announcements of the upcoming earnings date but otherwise provide little new information. I find positive returns, more EDGAR searches, and higher trading volumes on notification days. I also find that attention and returns around the earnings announcement are lower in the presence of notifications, consistent with notifications attenuating investor attention. I show that attention has its strongest effect on returns in the days immediately following the earnings announcement.

Keywords: Investor attention; Earnings announcement premium; Earnings notifications (search for similar items in EconPapers)
JEL-codes: G10 G14 M41 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jaecon:v:66:y:2018:i:1:p:222-243

DOI: 10.1016/j.jacceco.2018.05.002

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