Attention to Market Information and Underreaction to Earnings on Market Moving Days
研究发现，当公司盈余公告日市场回报波动较大时，盈余公告后漂移现象更强，且主要由负面盈余意外驱动，在小盘股、价值股和分析师关注度低的股票中更显著，分析师反应滞后也加剧了该现象。
Post-earnings announcement drift (PEAD) is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure. Negative earnings surprises drive this drift, and the drift is more pronounced among small stocks, value stocks, and stocks that have low analyst following. Slower analyst response to earnings contributes to the drift. These findings are consistent with investors paying more attention to market information and less attention to firm-specific information due to attention constraints.