Yahoo Finance Search and Earnings Announcements
47 Pages Posted: 9 Jul 2016
Date Written: July 1, 2016
We use Yahoo Finance search to examine the effects of investor attention at earnings announcements. We find that Yahoo Finance search at earnings announcements is a major factor explaining earnings responses and is predictive of subsequent returns. Moreover, we show that other measures of investor attention (e.g., Google search, EDGAR search) are less informative in explaining earnings responses and subsequent returns. The findings suggest the importance of investor attention, and in particular, retail attention in the pricing of financial information.
Keywords: Yahoo Finance search; investor attention; earnings responses; earnings surprises; returns; volume; EDGAR search; Google search
JEL Classification: M41, G12, G14
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