I dissect stock returns after earnings announcements into their overnight and intraday components and document strong positive abnormal overnight returns for several weeks after both large positive and negative earnings surprises. This finding is in line with attention-induced buying pressure....

We provide new evidence on the role of management guidance in explaining earnings announcement-period returns. We show that guidance practices changed around the financial crisis in ways likely to affect the information content of guidance bundled with earnings. Managers provide guidance for a...

We investigate whether increased investor demand for financial information arising from higher market uncertainty leads to greater media coverage of earnings announcements. We also investigate whether greater coverage during times of higher uncertainty further destabilizes financial markets...

This study investigates the relationship between investor inattention and earnings announcement effects around a Chinese holiday called Tomb-Sweeping Day, which, unlike other holidays, is short. Not only is investor attention distracted, which can generate emotional fluctuation, but a large...

We analyze the earnings information and stock prices of S&P500 firms and find that investors following S&P500 stocks (i) respond more to pro forma earnings than to GAAP earnings, (ii) respond to an emphasis on pro forma earnings, and (iii) are fixated on pro forma earnings. We provide the first...

We examine whether financial analysts—sophisticated market participants—are subject to limited attention. We find that when analysts have another firm in their coverage portfolio announcing earnings on the same day as the sample firm (a “concurrent announcement”), they are less likely to...

I test whether the anticipation of earnings news stimulates acquisition of customer information and mitigates returns to the customer–supplier anomaly documented by Cohen and Frazzini. I find that attention to a firm's publicly disclosed customers increases shortly before the firm announces...

I test whether the anticipation of earnings news stimulates acquisition of customer information and mitigates returns to the customer-supplier anomaly documented by Cohen and Frazzini (2008). I find that attention to a firm's publicly disclosed customers increases shortly before the firm...

Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates....

We provide evidence that equity investors with limited attention are slow to incorporate how current oil price changes affect future earnings announcements. A cross-sectional equity trading strategy that exploits this inefficiency yields an annualized Sharpe Ratio of 0.57. Stock prices respond...