Attention-driven reaction to extreme earnings surprises

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dc.contributor.authorReyes, Tomas
dc.contributor.authorBatista, Julian A.
dc.contributor.authorChacon, Alvaro
dc.contributor.authorMartinez, Diego
dc.contributor.authorKausel, Edgar E.
dc.date.accessioned2025-01-20T17:23:32Z
dc.date.available2025-01-20T17:23:32Z
dc.date.issued2023
dc.description.abstractWe investigate the relationship between investor attention and stock returns in the context of extreme earnings surprises. We propose a novel mechanism that describes this interaction: high attention to very positive and very negative earnings news results in faster incorporation of information into stock prices, an overreaction effect, and a subsequent partial reversal. We test this mechanism using post-announcement abnormal returns and measure investor attention using internet search volume. We confirm that abnormal attention to earnings announcements is positively related to post-announcement abnormal returns when earnings surprises are very positive and negatively related when earnings surprises are very negative. More importantly, we argue that investors exhibit attention-driven overreactions to these extreme earnings surprises since the initial effects of abnormal attention on abnormal returns are subsequently partially reversed.
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.qref.2023.10.003
dc.identifier.eissn1878-4259
dc.identifier.issn1062-9769
dc.identifier.urihttps://doi.org/10.1016/j.qref.2023.10.003
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/91504
dc.identifier.wosidWOS:001103720600001
dc.language.isoen
dc.pagina.final248
dc.pagina.inicio230
dc.revistaQuarterly review of economics and finance
dc.rightsacceso restringido
dc.subjectLimited attention
dc.subjectMarket-pricing anomaly
dc.subjectStock prices explanation
dc.subjectEarnings announcements
dc.subjectEvent study
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleAttention-driven reaction to extreme earnings surprises
dc.typeartículo
dc.volumen92
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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