Macroeconomic Information Acquisition Around Earnings Clusters
研究发现，在多家公司集中发布盈利公告的日子里，投资者会更多地获取宏观经济信息，这种行为在经济负面冲击和宏观公告发布时更为明显，并影响股票估值。
ABSTRACT Research shows that investors acquire and process less firm‐specific information on days when many firms announce earnings (hereafter earnings clusters). We show that investors gather more macroeconomic information during earnings clusters, that this behavior is amplified during negative economic shocks and concurrent macroeconomic announcements, and that these information acquisition patterns have implications for equity valuations. Our findings are consistent with the benefit of extracting macroeconomic information from earnings announcements increasing during earnings clusters, which we confirm empirically. Thus, our results help explain why investors focus less on individual firm news during earnings clusters: They rationally redirect their attention to the most beneficial information.