标题：Investor attention and stock market under-reaction to earnings announcements: Evidence from the options market
作者：Wang, Xuewu Wesley; Yan, Zhipeng; Zhang, Qunzi; Gao, Xuechen
作者机构：[Wang, Xuewu Wesley] Univ Oklahoma, Div Finance, Michael E Price Coll Business, Norman, OK 73019 USA.; [Yan, Zhipeng] New Jersey Inst Technol, Marti 更多
通讯作者地址：[Wang, XW]Univ Oklahoma, Div Finance, Michael E Price Coll Business, Norman, OK 73019 USA.
来源：JOURNAL OF FUTURES MARKETS
关键词：earnings announcements; investor attention; option trading; stock market; under-reaction
摘要：Using a broad sample of earnings announcements, we show that the initial stock market's response substantially increases and the post-earnings announcement drift becomes much weaker in the presence of more active pre-earnings option trading. We find that the strongest initial stock market's response originates from those announcements with higher pre-earnings option trading, fewer competing announcements, and made on non-Fridays. Our interpretation is that the heightened investor attention, as captured by higher pre-earnings option trading, fewer competing announcements, and non-Friday announcements, accelerates the stock market's response and mitigates the stock market under-reaction.