Uncertainty, Investor Learning, and Positive Post-Announcement Returns.

[摘要] I examine how uncertainty about the interpretation of earnings drives investor information gathering and how this activity is associated with stock return patterns around earnings announcements.Investors gather more firm-level information as the earnings number deviates further from their prior beliefs and as firm-level and market-wide uncertainty increase prior to the announcement. The marginal effect of firm-level uncertainty on information gathering declines as market-wide uncertainty increases, consistent with theories of rational attention and category learning.The intensity of these information gathering activities is associated with negative abnormal returns in the announcement period and positive abnormal returns in the post-announcement period, particularly when information gathering is unlikely to fully resolve uncertainty or when additional information available to investors is ambiguous.These (seemingly) predictable return patterns are consistent with theoretical predictions about how investors respond to uncertainty.Taken together, the results suggest that proxies for investor attention and information gathering inherently capture investor uncertainty and that investors require higher future returns when they are unable to resolve uncertainty through the analysis of supplemental information.

[发布机构] University of Michigan

[效力级别] Investor attention

[关键词] Information and Uncertainty (JEL D8);Investor attention;Information and Market Efficiency;Event Studies (JEL G14);Search;Learning;and Information (JEL D83);Accounting earnings;Bayesian learning;Accounting;Finance;Business and Economics;Business Administration