Yahoo Finance Search and Earnings Announcements

47 Pages Posted: 9 Jul 2016

See all articles by Alastair Lawrence

Alastair Lawrence

London Business School / University of California, Berkeley

James Ryans

London Business School

Estelle Sun

Boston University - Questrom School of Business

Nikolay Laptev

Yahoo! - Yahoo! Research Labs

Date Written: July 1, 2016

Abstract

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

Suggested Citation

Lawrence, Alastair and Ryans, James and Sun, Estelle Yuan and Laptev, Nikolay, Yahoo Finance Search and Earnings Announcements (July 1, 2016). Available at SSRN: https://ssrn.com/abstract=2804353 or http://dx.doi.org/10.2139/ssrn.2804353

Alastair Lawrence (Contact Author)

London Business School / University of California, Berkeley ( email )

Regent's Park
London
United Kingdom

HOME PAGE: http://Www.alastairlawrence.net

James Ryans

London Business School ( email )

Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom

HOME PAGE: http://www.london.edu

Estelle Yuan Sun

Boston University - Questrom School of Business ( email )

595 Commonwealth Avenue
Boston, MA MA 02215
United States
1-617-353-2353 (Phone)

Nikolay Laptev

Yahoo! - Yahoo! Research Labs ( email )

Sunnyvale, CA 94089
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
417
rank
65,992
Abstract Views
1,960
PlumX Metrics