Let me sleep on it: sleep and investor reactions to earnings surprises
利用夏令时转换造成的睡眠模式中断，研究发现睡眠不足的投资者对盈利意外反应不足，导致公告后股价出现正向漂移，说明认知能力对市场定价效率至关重要。
We explore if sleep deprivation affects how investors react to relevant news.Using the transition to Daylight Saving Time (DST) in spring as a disruption to sleeping patterns, we show that investors underreact to a firm's earnings surprise in the days after the transition to DST.Further, an earnings surprise in the days after the transition to DST is associated with a positive drift in the post-announcement period.Our findings are consistent with sleep-deprived investors mispricing and subsequently revisiting relevant information.Overall, our results highlight the importance of investors' cognitive ability for efficient market pricing.