Bailey, Warren; Lai, Huiwen; Zhu, Kevin - 2023
We advance understanding of earnings announcement returns and post-earnings announcement returns (PEAR) with a model that combines limited attention (Hirshleifer and Teoh, 2003) and salience (Bordalo, Gennaioli, and Shleifer, 2012). By including salience effect bias, our model predicts stronger...