Macro news and micro news: Complements or substitutes?

Autor:	David Hirshleifer, Jinfei Sheng
Rok vydání:	2022
Předmět:	Economics and Econometrics Information transmission ComputingMilieux_THECOMPUTINGPROFESSION Earnings Strategy and Management Market efficiency Event study Monetary economics Crowding out Accounting Economics Stock market Insider trading Macro Finance
Zdroj:	Journal of Financial Economics. 145:1006-1024
ISSN:	0304-405X
DOI:	10.1016/j.jfineco.2021.09.012
Popis:	We study how the arrival of macro-news affects the stock market’s ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings announcements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days. This suggests a complementary relationship between macro and micro news that is consistent with either investor attention or information transmission channels.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f696c7c4abd13c65fe84e015cb64f1c7 https://doi.org/10.1016/j.jfineco.2021.09.012 Zobrazit plný text záznamu Full Text from ScienceDirect