Local investor attention and post-earnings announcement drift

Bin Wang (), Wonseok Choi () and Ibrahim Siraj ()
Additional contact information
Bin Wang: Marquette University
Wonseok Choi: University of Texas Rio Grande Valley
Ibrahim Siraj: Long Island University Post

Review of Quantitative Finance and Accounting, 2018, vol. 51, issue 1, No 9, 219-252

Abstract: Abstract We show that local investor attention, as a proxy for the arrival rate of informed trading, has an impact on post-earnings announcement drift. Measured by monthly abnormal Google search volume before the earnings announcement, high (low) local investor attention is associated with weak (strong) delayed market reaction to the earnings announcement and strong (weak) abnormal trading volume in the pre-earnings announcement period. The evidence documented in this paper supports both “rational structural uncertainty” and attention allocation theories that argue that information distribution among investors plays an important role in explaining market anomalies.

Keywords: Local attention; Google search; Geographic proximity; Information advantages; Post-earnings announcement drift (search for similar items in EconPapers)
JEL-codes: D82 G14 M41 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s11156-017-0669-2

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