Economic Uncertainty and Investor Attention

48 Pages Posted: 4 Mar 2018 Last revised: 28 Dec 2020

See all articles by Daniel Andrei

Daniel Andrei

McGill University

Henry L. Friedman

University of California, Los Angeles (UCLA) - Accounting Area

N. Bugra Ozel

University of Texas at Dallas; The Wharton School

Date Written: December 26, 2020


This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms’ characteristics. It is shown that higher market-level uncertainty crowds-in investor attention to firm-level earnings announcements. Increased investor attention magnifies the earnings response coefficients of all announcing firms, but stock prices react differently to the increase in attention (e.g., firms with higher systematic risk attract more investor attention and their prices react more to earnings announcements). The implications of the model for the cross section of firms are tested using data on firm-level attention and return measures around earnings announcements.

Keywords: Investor attention; Economic uncertainty; Earnings announcements

JEL Classification: G14; G41; M41

Suggested Citation

Andrei, Daniel and Friedman, Henry L. and Ozel, N. Bugra, Economic Uncertainty and Investor Attention (December 26, 2020). Available at SSRN: or

Daniel Andrei

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5

Henry L. Friedman (Contact Author)

University of California, Los Angeles (UCLA) - Accounting Area ( email )

D406 Anderson Complex
Los Angeles, CA 90095-1481
United States

N. Bugra Ozel

University of Texas at Dallas ( email )

800 W Campbell Rd
Richardson, TX 75083-0688
United States


The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States


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