Hirshleifer, David and Sheng, Jinfei (2016): Macro News and Micro News: Complements or Substitutes? Forthcoming in: Journal of Financial Economics
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Abstract
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.
Item Type: | MPRA Paper |
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Original Title: | Macro News and Micro News: Complements or Substitutes? |
Language: | English |
Keywords: | macro news, earnings announcements, market efficiency, investor attention, complementary relationship |
Subjects: | E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading |
Item ID: | 110042 |
Depositing User: | Dr. Jinfei Sheng |
Date Deposited: | 07 Oct 2021 04:48 |
Last Modified: | 17 Aug 2024 01:49 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/110042 |
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Macro News and Micro News: Complements or Substitutes? (deposited 13 Jun 2021 20:25)
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Macro News and Micro News: Complements or Substitutes? (deposited 22 Aug 2021 07:24)
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Macro News and Micro News: Complements or Substitutes? (deposited 22 Aug 2021 07:24)