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Macro News and Micro News: Complements or Substitutes?

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  • David Hirshleifer
  • Jinfei Sheng

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.

Suggested Citation

  • David Hirshleifer & Jinfei Sheng, 2021. "Macro News and Micro News: Complements or Substitutes?," NBER Working Papers 28931, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:28931
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    Cited by:

    1. Liu, Huilong & Xie, Jing & Yang, Yanning, 2024. "Government data opening and corporate cash holdings: Evidence from a quasi-natural experiment in China," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 1394-1414.
    2. Lukas Hack & Davud Rostam-Afschar, 2025. "Which Macroeconomic News Matters for Price-Setting?," CESifo Working Paper Series 12215, CESifo.
    3. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    4. Choi, Insu & Kim, Woo Chang, 2025. "A multifaceted graph-wise network analysis of sector-based financial instruments’ price-based discrepancies with diverse statistical interdependencies," The North American Journal of Economics and Finance, Elsevier, vol. 75(PB).
    5. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    6. Gaul, Johannes & Schrader, Pascal, 2025. "Beyond content: Investors' chatter, interaction and earnings announcement returns," ZEW Discussion Papers 25-040, ZEW - Leibniz Centre for European Economic Research.
    7. Xu, Nancy R. & You, Yang, 2025. "Main Street’s Pain, Wall Street’s Gain," Journal of Financial Economics, Elsevier, vol. 168(C).
    8. Marmora, Paul, 2025. "The causal effect of limited attention to FOMC announcements," Journal of Economic Behavior & Organization, Elsevier, vol. 234(C).
    9. Garcia, John, 2025. "The power of attention: examining the roles of institutional investor and macroeconomic news attention in shaping share liquidity," Global Finance Journal, Elsevier, vol. 67(C).
    10. Li, Zhaohua & Hu, Baiding & Zhang, Yuqian & Yang, Wanyi, 2024. "Financial market spillovers and investor attention to the Russia-Ukraine war," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    11. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    12. Pengcheng Zhang & Kunpeng Xu & Jian Huang & Jiayin Qi, 2024. "Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-36, December.
    13. Xu, Liao & Zhang, Xuan & Zhao, Jing, 2023. "Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic," Journal of Financial Markets, Elsevier, vol. 62(C).
    14. Li, Jiacui, 2022. "Endogenous inattention and risk-specific price underreaction in corporate bonds," Journal of Financial Economics, Elsevier, vol. 145(2), pages 595-615.
    15. Yun Ke & Kin Lo & Jinfei Sheng & Jenny Li Zhang, 2023. "Do investors affect financial analysts’ behavior? Evidence from short sellers," Financial Management, Financial Management Association International, vol. 52(1), pages 199-224, March.
    16. Samer Adra & Elie Menassa, 2023. "Uncertainty and corporate investments in response to the Fed's dual shocks," The Financial Review, Eastern Finance Association, vol. 58(3), pages 463-484, August.
    17. Du, Xiuli & Ao, Zhu & Chai, Yiwei & Ge, Shilong, 2023. "Economic policy uncertainty, investor attention and post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 87(C).

    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G4 - Financial Economics - - Behavioral Finance

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