Driven to Distraction: Extraneous Events and Underreaction to Earnings News
通过测量投资者面临的信息负荷，直接检验有限注意力导致市场反应不足的假说，发现同日其他公司盈利公告越多，目标公司的价格和交易量反应越弱、漂移越强，并基于此构建了产生显著超额收益的交易策略。
ABSTRACT Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The investor distraction hypothesis holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post‐announcement drift much stronger, when a greater number of same‐day earnings announcements are made by other firms. We evaluate the economic importance of distraction effects through a trading strategy, which yields substantial alphas. Industry‐unrelated news and large earnings surprises have a stronger distracting effect.