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Macro News and Micro News: Complements or Substitutes? / David Hirshleifer, Jinfei Sheng.
- Format:
- Book
- Author/Creator:
- Hirshleifer, David.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28931.
- NBER working paper series no. w28931
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- We study how the arrival of macro-news affects the stock market's ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings announcements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days. This suggests a complementary relationship between macro and micro news that is consistent with either investor attention or information transmission channels.
- Notes:
- Print version record
- June 2021.
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