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Earnings notifications, investor attention, and the earnings announcement premium

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  • Chapman, Kimball

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.

Suggested Citation

  • Chapman, Kimball, 2018. "Earnings notifications, investor attention, and the earnings announcement premium," Journal of Accounting and Economics, Elsevier, vol. 66(1), pages 222-243.
    • Handle: RePEc:eee:jaecon:v:66:y:2018:i:1:p:222-243
    DOI: 10.1016/j.jacceco.2018.05.002
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    References listed on IDEAS

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    Citations

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    5. Ping‐Wen Sun & Zipeng Wen, 2023. "Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 58-86, March.
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    9. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
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    More about this item

    Keywords

    Investor attention; Earnings announcement premium; Earnings notifications;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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