March Market Madness: The Impact of Value‐Irrelevant Events on the Market Pricing of Earnings News
研究发现NCAA篮球锦标赛（三月疯狂）分散了投资者注意力，导致盈余新闻发布时的股价反应减弱，且低机构持股公司受影响更大，市场需30至60天才能纠正这一偏差。
Abstract Each year, the NCAA basketball tournament (March Madness) is a daytime distraction for millions of people, providing a largely exogenous shock to investor attention. We investigate whether March Madness influences the market response to earnings by diverting investor attention away from earnings news. We find that the price reaction to earnings news released during March Madness is muted. This result generally holds across several samples and additional analyses. We also find that the result is more muted for low institutional ownership firms, consistent with the effect being driven by less‐sophisticated investors. Furthermore, we find that it takes the market 30 to 60 days to correct for the distraction effect. Overall, we provide a unique test of the theory of limited attention by documenting that extraneous events can have a significant impact on the pricing of earnings.