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:Wang, XW
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
出版年:2018
卷:38
期:4
页码:478-492
DOI:10.1002/fut.21890
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.
收录类别:SCOPUS;SSCI
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85035120718&doi=10.1002%2ffut.21890&partnerID=40&md5=d946e408b6255da1fb5701c8039649c6
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