Geographic Dispersion of Investor Attention and the Market’s Response to Earnings Announcements

54 Pages Posted: 16 Nov 2018 Last revised: 21 Nov 2018

See all articles by Jason V. Chen

Jason V. Chen

University of Illinois at Chicago

Date Written: November 20, 2018

Abstract

Studies suggest that information is located across many geographic locations and that investors’ locations affect which information sources they draw from. Based upon this research, I argue that firms that have greater geographic dispersion of investor attention on their earnings announcements have more diversely informed investors, facilitating the market’s response to their earnings. I measure this dispersion using a Herfindahl index, calculated using the locations of the unique IP addresses that access the firm’s filings from EDGAR. I find that firms that have greater dispersion of investor attention have greater turnover in the three-day window around quarterly earnings announcements. Next, consistent with the “wisdom of the crowds,” my findings suggest that the market exhibits a more informed price response to quarterly earnings announcements when investor attention is more geographically dispersed. Overall, my findings suggest that the geographic dispersion of investor attention influences the market response to earnings announcements.

Keywords: geography, earnings announcements, investor attention, location, EDGAR

JEL Classification: G12, G14, D83

Suggested Citation

Chen, Jason V., Geographic Dispersion of Investor Attention and the Market’s Response to Earnings Announcements (November 20, 2018). Available at SSRN: https://ssrn.com/abstract=3034250 or http://dx.doi.org/10.2139/ssrn.3034250

Jason V. Chen (Contact Author)

University of Illinois at Chicago ( email )

1200 W Harrison St
Chicago, IL 60607
United States

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