Journal of Financial Economics, Volume 122, Issue 1, October 2016, Pages 65-85

星期五的公告是否特殊？克服选择偏差

作者：Roni Michaely (Cornell University and Interdisciplinary Center), Amir Rubin (Interdisciplinary Center and Simon Fraser University), Alexander Vedrashko (Beedie School of Business, Simon Fraser University)

摘要：我们报告了市场对星期五发布的公告存在反应减少的现象，这些公告包括股息变动、股权再融资、股票回购、盈余和兼并，反应减少的现象似乎源自投资者对周五信息的疏忽。然而，我们证明了这些发现是选择性偏差的结果。那些在星期五发布公告的公司在其他工作日发布公告时也会经历市场反应减少，并且不同的公告中存在着某些尚未被观察到的共同特征。在修正了选择性偏差之后，无法证明投资者对在星期五发布的公告注意力更少。这里使用的方法也适用于对那些影响公司业绩并且与公司特征相关的外生变量的研究。

关键词：疏忽，星期五，选择性偏差，公司公告，市场反应

Are Friday announcements special? Overcoming selection bias

Roni Michaely (Cornell University and Interdisciplinary Center), Amir Rubin (Interdisciplinary Center and Simon Fraser University), Alexander Vedrashko (Beedie School of Business, Simon Fraser University)

ABSTRACT

We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias, there is no evidence that investors pay less attention to announcements made on Fridays. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics.

Keywords: Inattention; Friday; Selection bias; Corporate announcements; Market reaction

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X16300976

翻译：秦秀婷