With limited information processing ability, investors pay more attention to the overall market on days with important macroeconomic news announcement and allocate relatively less attention to firm-level news on those days. In turn, the information in macroeconomic news helps investors to interpret firm-level news. We provide evidence supporting the above argument by showing that investor underreaction to earnings announcements with concurrent important macroeconomic news announcement is significantly weaker than otherwise. The post-earningsannouncement drift is reduced by about 20% over short horizon due to the effect of macroeconomic news announcement. Under market conditions with less uncertainty, macroeconomic news has an immediate and more pronounced effect on investor reaction to earnings surprises.
Key words: Post-earnings-announcement drift; Macroeconomic news announcements; Limited investor attention; Category learning behavior; Investor underreaction
JEL Classification: G12, G14
학회소식
[2015년 제 4차] Does Macro-News Help to Interpret Micro-News? Evide
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2016-01-08
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