Macro news and micro news: Complements or substitutes?

被引：289
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
收藏
页码：1006 / 1024
页数：19
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