投资者关注与盈余公告周一效应

Investor Attention and the Effect of Earnings Announcements on Monday

由于周末信息的累积效应,股票市场在周一表现出高波动性,投资者基于风险认知而提高对股市的关注程度。本文比较了市场对周一和其他工作日盈余公告的不同反应后发现:与其他工作日盈余公告相比,周一盈余公告表现出更高程度的公告日价格反应,更低程度的公告后价格漂移现象,盈余公告价格反应的周历差异主要表现在股市上升时期,投资者在周一的交易行为更加谨慎,周一盈余公告伴随着更低的公告日市场异常交易量。上述结果表明,投资者注意力是一种稀缺的认知资源,其分配方式影响上市公司信息披露产生的经济后果。

Investors recognize risk and increase attention to stock market on Monday because weekend informa- tion accumulation causes higher volatility of stock price. This paper empirically compares the response to the earnings announcements on Monday with the response on other weekdays. We observe more immediate response and less drift for Monday announcements. The differences are stronger in up markets than in down markets. addition, higher risk makes investors more wary and trading volume is lower around Monday In ts. These findings indicate that investor attentiofi is a scare cognitive resource and that its allocation has an effect on economic consequence of information disclosure for listed companies.