Munich Personal RePEc Archive

Macro News and Micro News: Complements or Substitutes?

Hirshleifer, David and Sheng, Jinfei (2016): Macro News and Micro News: Complements or Substitutes? Forthcoming in: Journal of Financial Economics

This is the latest version of this item.

[thumbnail of MPRA_paper_109311.pdf]

Download (1MB) | Preview
[thumbnail of MPRA_paper_110042.pdf]

Download (856kB) | Preview


We study how the arrival of macro-news affects the stock market’s ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings announcements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days. This suggests a complementary relationship between macro and micro news that is consistent with either investor attention or information transmission channels.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.