Local investor attention and post-earnings announcement drift

Simple item page
dc.contributor.authorChoi, Wonseok
dc.contributor.authorWang, Bin
dc.contributor.authorIbrahim, Siraj
dc.creator.orcidhttps://orcid.org/0000-0003-3215-8091
dc.date.accessioned2022-11-10T18:25:42Z
dc.date.available2022-11-10T18:25:42Z
dc.date.issued2017-09-18
dc.descriptionArticle originally published in Review of Quantitative Finance and Accounting, 51(1), 219–252. English. Published Online 2017. https://doi.org/10.1007/s11156-017-0669-2
dc.description.abstractWe show that local investor attention, as a proxy for the arrival rate of informed trading, has an impact on post-earnings announcement drift. Measured by monthly abnormal Google search volume before the earnings announcement, high (low) local investor attention is associated with weak (strong) delayed market reaction to the earnings announcement and strong (weak) abnormal trading volume in the pre-earnings announcement period. The evidence documented in this paper supports both ‘‘rational structural uncertainty’’ and attention allocation theories that argue that information distribution among investors plays an important role in explaining market anomalies.en_US
dc.identifier.citationThis is the post-print version of an article that is available at https://doi.org/10.1007/s11156-017-0669-2. Recommended citation: Wang, B., Choi, W., & Siraj, I. (2017). Local investor attention and post-earnings announcement drift. Review of Quantitative Finance and Accounting, 51(1), 219–252. This item has been deposited in accordance with publisher copyright and licensing terms and with the author’s permission.en_US
dc.identifier.urihttps://hdl.handle.net/11274/14199
dc.identifier.urihttps://doi.org/10.1007/s11156-017-0669-2
dc.language.isoen_USen_US
dc.publisherSpringeren_US
dc.subjectLocal attentionen_US
dc.subjectGoogle searchen_US
dc.subjectGeographic proximityen_US
dc.subjectInformation advantagesen_US
dc.subjectPost-earnings announcement driften_US
dc.titleLocal investor attention and post-earnings announcement driften_US
dc.typePost-Printen_US

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Local investor attention and post-earnings announcement drift.pdf
Size:
510.61 KB
Format:
Adobe Portable Document Format
Description:
Download

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.68 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Department of Accounting & Finance