Concurrent Earnings Announcements and the Allocation of Investor Attention

50 Pages Posted: 13 Apr 2021 Last revised: 30 Aug 2021

See all articles by Elia Ferracuti

Elia Ferracuti

Duke University - Fuqua School of Business

Gary Lind

University of Pittsburgh - Joseph M. Katz Graduate School of Business

Date Written: August 23, 2021

Abstract

We study how investors allocate attention between firm-specific and aggregate information in earnings announcements. We hypothesize that as the number of firms announcing earnings on a given day increases, so too does the net benefit of processing aggregate rather than idiosyncratic information in earnings announcements. Consistent with this prediction, we show that aggregate uncertainty declines on days with more earnings announcements, while simultaneously the idiosyncratic uncertainty of announcing firms increases. We further show that investor behavior reflects such an attention allocation: on days with many firms announcing earnings, investors adjust their portfolio by trading securities with higher exposure to aggregate uncertainty, and they perform more Internet searches for macro-related terms. Overall, the evidence is consistent with predictions from recent information choice models and indicates that investors rationally allocate their limited attention between different types of information.

Keywords: Attention Allocation, Earnings Announcements, Uncertainty

JEL Classification: D81, D83, E44, G11, G14, M41

Suggested Citation

Ferracuti, Elia and Lind, Gary, Concurrent Earnings Announcements and the Allocation of Investor Attention (August 23, 2021). Available at SSRN: https://ssrn.com/abstract=3825094 or http://dx.doi.org/10.2139/ssrn.3825094

Elia Ferracuti (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-1974 (Phone)

Gary Lind

University of Pittsburgh - Joseph M. Katz Graduate School of Business ( email )

3950 Roberto Clemente Drive
Pittsburgh, PA 15260
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
119
Abstract Views
558
rank
295,796
PlumX Metrics