JOURNAL OF ACCOUNTING AND ECONOMICS, VOL 66, AUGUST 2018

盈利通知，投资者关注以及盈利公告溢价

作者：Kimball Chapman (Pennsylvania State University)

摘要：本文提供了新的证据表明，投资者关注可以解释盈利公告的正向回报，该关注度解释与文献中基于信息的解释相一致。本文使用的盈利通知是关于接下来盈利公告日的通知，这些通知引人关注但在其他方面提供的信息很少。本文发现，在通知日有正的回报，更多的EDGAR搜索以及更高的交易量。本文还发现，在有盈利通知时，盈利公告附近时间的注意力和回报率会降低，这与通知会削弱投资者的注意力观点一致。本文发现，在盈利公告发布后的几天里，投资者关注对回报的影响最大。

关键词：投资者关注; 盈利公告溢价; 盈利通知

Earnings Notifications, Investor Attention, and the Earnings Announcement Premium

Kimball Chapman (Pennsylvania State University)

ABSTRACT

This paper provides new evidence that investor attention explains positive returns around earnings announcements and reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which are attention-grabbing announcements of the upcoming earnings date but otherwise provide little new information. I find positive returns, more EDGAR searches, and higher trading volumes on notification days. I also find that attention and returns around the earnings announcement are lower in the presence of notifications, consistent with notifications attenuating investor attention. I show that attention has its strongest effect on returns in the days immediately following the earnings announcement.

Keywords: Investor Attention；Earnings Announcement Premium；Earnings Notifications

原文链接：

https://www.sciencedirect.com/science/article/pii/S016541011830034X#!

翻译：王秭越