December Doldrums, Investor Distraction, and Stock Market Reaction to Unscheduled News Events

Chava, Sudheer; Paradkar, Nikhil

doi:10.2139/ssrn.2962476

SSRN Journal

2016

DOI: 10.2139/ssrn.2962476

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December Doldrums, Investor Distraction, and Stock Market Reaction to Unscheduled News Events

Sudheer Chava

Nikhil Paradkar²

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Cited by 2 publications

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Attention to Market Information and Underreaction to Earnings on Market Moving Days

Kottimukkalur¹

2018

J. Financ. Quant. Anal.

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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.

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Attention to Market Information and Underreaction to Earnings on Market Moving Days

Kottimukkalur¹

2018

J. Financ. Quant. Anal.

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Chava

Paradkar³

2019

SSRN Journal

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December Doldrums, Investor Distraction, and Stock Market Reaction to Unscheduled News Events

Cited by 2 publications

References 59 publications

Attention to Market Information and Underreaction to Earnings on Market Moving Days

Attention to Market Information and Underreaction to Earnings on Market Moving Days

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