TY - JOUR
T1 - Sophisticated Investor Attention and Market Reaction to Earnings Announcements
T2 - Evidence From the SEC’s EDGAR Log Files
AU - Li, Ruihai
AU - Wang, Xuewu
AU - Yan, Zhipeng
AU - Zhao, Yan
N1 - Publisher Copyright:
© 2019 The Institute of Behavioral Finance.
PY - 2019
Y1 - 2019
N2 - The Securities and Exchange Commission’s (SEC) Electronic Data Gathering and Retrieval (EDGAR) log files provide a direct, powerful measure of attention from relatively sophisticated investors. The authors apply this measure to a sample of earnings announcements from 2003 to 2016. The authors find that the stock market is less surprised, and the post–earnings-announcement drift is weaker for earnings announcements receiving more preannouncement investor attention, measured in downloads by humans from EDGAR. The authors further show that it is profitable to utilize the different drift patterns. An attention-based portfolio without the SEC reporting lag that longs stocks with the lowest investor attention and most positive earnings surprises and shorts stocks with the lowest attention and most negative earnings surprises generates a statistically significant monthly alpha of 1.24% after adjusting for standard asset pricing factors.
AB - The Securities and Exchange Commission’s (SEC) Electronic Data Gathering and Retrieval (EDGAR) log files provide a direct, powerful measure of attention from relatively sophisticated investors. The authors apply this measure to a sample of earnings announcements from 2003 to 2016. The authors find that the stock market is less surprised, and the post–earnings-announcement drift is weaker for earnings announcements receiving more preannouncement investor attention, measured in downloads by humans from EDGAR. The authors further show that it is profitable to utilize the different drift patterns. An attention-based portfolio without the SEC reporting lag that longs stocks with the lowest investor attention and most positive earnings surprises and shorts stocks with the lowest attention and most negative earnings surprises generates a statistically significant monthly alpha of 1.24% after adjusting for standard asset pricing factors.
KW - Attention-based portfolio
KW - Earnings response coefficient
KW - Investor attention
KW - Post–earnings-announcement drift
KW - SEC’s EDGAR log files
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U2 - 10.1080/15427560.2019.1575829
DO - 10.1080/15427560.2019.1575829
M3 - Article
AN - SCOPUS:85063588079
SN - 1542-7560
VL - 20
SP - 490
EP - 503
JO - Journal of Behavioral Finance
JF - Journal of Behavioral Finance
IS - 4
ER -