Aggregate Market Attention and Earnings Announcements

• In Event: SESSION 5D: Earnings Announcements and Returns

Abstract

This study examined the relation between the volume of earnings disclosures by firms and aggregate stock market trading activity. Although the relation between the trading activity experienced by disclosing firms and announcement volume is negative, consistent with the firm level evidence of Hirschleifer et al. (2009a), the relations between number of announcements and both overall trading and non-announcer volume are positive. Hence, while it is true that high numbers of announcement distract investor attention within the set of announcing firms, it is also true that investor attention to the market as a whole (i.e., aggregate attention) increases with number of announcements. Results also showed that the average aggregate surprise content of the announced earnings has a negative impact on overall volume. The strong positive relation between aggregate attention and number of announcements is mainly driven by large announcers. Finally, the arrival of a greater number of negative earnings surprises distracts investor attention from the announcers, and the aggregate market attention is equally attracted by positive and negative numbers of news.

Author

• Abdullah Kumas, University of Richmond