Macro news and micro news: Complements or substitutes?

被引：284

作者：

Hirshleifer, David ^{[1
]}

Sheng, Jinfei ^{[2
]}

机构：

[1] Univ Southern Calif, Los Angeles, CA 90089 USA

[2] Univ Calif Irvine, Irvine, CA 92697 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 145卷 / 03期

关键词：

Macro news; Earnings announcements; Market efficiency; Investor attention; Complementary relationship; EARNINGS-ANNOUNCEMENT DRIFT; INVESTOR ATTENTION; LIMITED ATTENTION; OVERCONFIDENCE; UNDERREACTION; ALLOCATION; ANOMALIES; RETURNS; MARKETS; SEARCH;

D O I：

10.1016/j.jfineco.2021.09.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study how the arrival of macro-news affects the stock market's ability to incorpo-rate 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 an-nouncements. 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.(c) 2021 Elsevier B.V. All rights reserved.

引用

页码：1006 / 1024

页数：19

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