Investor attention and stock market under‐reaction to earnings announcements: Evidence from the options market
研究发现，盈利公告前的期权交易越活跃，股票市场对公告的初始反应越强，而公告后的漂移现象越弱，表明投资者关注加速了市场反应、缓解了反应不足。
Using a broad sample of earnings announcements, we show that the initial stock market's response substantially increases and the post‐earnings announcement drift becomes much weaker in the presence of more active pre‐earnings option trading. We find that the strongest initial stock market's response originates from those announcements with higher pre‐earnings option trading, fewer competing announcements, and made on non‐Fridays. Our interpretation is that the heightened investor attention, as captured by higher pre‐earnings option trading, fewer competing announcements, and non‐Friday announcements, accelerates the stock market's response and mitigates the stock market under‐reaction.