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<p>Analyzing a panel of earnings announcers from 1998–2022, we document that the aggregate market return on quarterly earnings announcement dates is positively associated with the announcing firm’s subsequent three-day abnormal returns. This phenomenon is strongest for firms with extreme earnings surprises and dissipates by day seven, indicating a short-lived delay in incorporating the aggregate news. We also document a sluggish return response to same-day macro news disclosures, especially when earnings surprises are extreme. Effects strengthen when investors exert more effort in acquiring announcing firm information, measured by SEC EDGAR filing downloads, when macronews has a larger impact on a firm’s stock returns, when firms are smaller, and when investors’ attention and processing capacity are more constrained, proxied by retail trading. Overall, the findings support the notion that investors have finite information processing capacity and that intensive efforts to acquire firm earnings news delay the incorporation of macroeconomic news into prices.</p>

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Firm–specific information processing and the delayed discovery of macroeconomic news: evidence from earnings announcement returns

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年5月13日

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  • Jing Pan,
  • Edward Sul,
  • Sean Wang

摘要

Analyzing a panel of earnings announcers from 1998–2022, we document that the aggregate market return on quarterly earnings announcement dates is positively associated with the announcing firm’s subsequent three-day abnormal returns. This phenomenon is strongest for firms with extreme earnings surprises and dissipates by day seven, indicating a short-lived delay in incorporating the aggregate news. We also document a sluggish return response to same-day macro news disclosures, especially when earnings surprises are extreme. Effects strengthen when investors exert more effort in acquiring announcing firm information, measured by SEC EDGAR filing downloads, when macronews has a larger impact on a firm’s stock returns, when firms are smaller, and when investors’ attention and processing capacity are more constrained, proxied by retail trading. Overall, the findings support the notion that investors have finite information processing capacity and that intensive efforts to acquire firm earnings news delay the incorporation of macroeconomic news into prices.