Macro news and micro news: Complements or substitutes?

David Hirshleifer and Jinfei Sheng

Journal of Financial Economics, 2022, vol. 145, issue 3, 1006-1024

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; Complementary relationship (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Working Paper: Macro News and Micro News: Complements or Substitutes? (2021)
Working Paper: Macro News and Micro News: Complements or Substitutes? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:145:y:2022:i:3:p:1006-1024

DOI: 10.1016/j.jfineco.2021.09.012

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