The earnings announcement premium, whereby a stock earns abnormal returns over its earnings announcement period, has been the subject of extensive research. We provide the first evidence that this premium has disappeared in the US in recent years. We show that the increased filings of material...

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...