Investor Inattention and Friday Earnings Announcements
研究发现周五发布的盈利公告因投资者注意力不足，即时市场反应比平时低15%，而后续漂移高70%，支持有限注意力导致信息反应不足的解释。
ABSTRACT Does limited attention among investors affect stock returns? We compare the response to earnings announcements on Friday, when investor inattention is more likely, to the response on other weekdays. If inattention influences stock prices, we should observe less immediate response and more drift for Friday announcements. Indeed, Friday announcements have a 15% lower immediate response and a 70% higher delayed response. A portfolio investing in differential Friday drift earns substantial abnormal returns. In addition, trading volume is 8% lower around Friday announcements. These findings support explanations of post‐earnings announcement drift based on underreaction to information caused by limited attention.