Choi, WonseokWang, BinIbrahim, Siraj2022-11-102022-11-102017-09-18This 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.https://hdl.handle.net/11274/14199https://doi.org/10.1007/s11156-017-0669-2Article originally published in Review of Quantitative Finance and Accounting, 51(1), 219–252. English. Published Online 2017. https://doi.org/10.1007/s11156-017-0669-2We 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-USLocal attentionGoogle searchGeographic proximityInformation advantagesPost-earnings announcement driftPost-Print