메뉴 건너뛰기




Volumn 53, Issue 3, 2012, Pages 612-634

Earnings announcements and attention constraints: The role of market design

Author keywords

Attention constraints; Automation; Earnings announcements; Inventory risk; Liquidity

Indexed keywords


EID: 84859996220     PISSN: 01654101     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jacceco.2012.01.001     Document Type: Article
Times cited : (50)

References (66)
  • 1
    • 77953027972 scopus 로고    scopus 로고
    • Limited attention and the earnings announcement returns of past stock market winners
    • Aboody David, Lehavy Reuven, Trueman Brett Limited attention and the earnings announcement returns of past stock market winners. Review of Accounting Studies 2010, 15:317-344.
    • (2010) Review of Accounting Studies , vol.15 , pp. 317-344
    • Aboody, D.1    Lehavy, R.2    Trueman, B.3
  • 3
    • 0031574540 scopus 로고    scopus 로고
    • Market assessment of industry and firm earnings information
    • Ayers Benjamin, Freeman Robert N. Market assessment of industry and firm earnings information. Journal of Accounting and Economics 1997, 24:205-218.
    • (1997) Journal of Accounting and Economics , vol.24 , pp. 205-218
    • Ayers, B.1    Freeman, R.N.2
  • 5
    • 0010921789 scopus 로고
    • Some preliminary findings on the association between the earnings of a firm, its industry, and the economy
    • Ball Ray, Brown Philip Some preliminary findings on the association between the earnings of a firm, its industry, and the economy. Journal of Accounting Research 1967, 5:55-77.
    • (1967) Journal of Accounting Research , vol.5 , pp. 55-77
    • Ball, R.1    Brown, P.2
  • 6
    • 0002742759 scopus 로고
    • An empirical evaluation of accounting income numbers
    • Ball Ray, Brown Philip An empirical evaluation of accounting income numbers. Journal of Accounting Research 1968, 6:159-178.
    • (1968) Journal of Accounting Research , vol.6 , pp. 159-178
    • Ball, R.1    Brown, P.2
  • 7
    • 38049051830 scopus 로고    scopus 로고
    • All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors
    • Barber Brad M., Odean Terrance All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 2008, 21:785-818.
    • (2008) Review of Financial Studies , vol.21 , pp. 785-818
    • Barber, B.M.1    Odean, T.2
  • 9
    • 0002072633 scopus 로고
    • The information content of annual earnings announcements
    • Beaver William H. The information content of annual earnings announcements. Journal of Accounting Research 1968, Suppl.:67-92.
    • (1968) Journal of Accounting Research , Issue.SUPPL. , pp. 67-92
    • Beaver, W.H.1
  • 10
    • 58449094601 scopus 로고    scopus 로고
    • Event day 0? After-hours earnings announcements
    • Berkman Henk, Truong Cameron Event day 0? After-hours earnings announcements. Journal of Accounting Research 2009, 47:71-103.
    • (2009) Journal of Accounting Research , vol.47 , pp. 71-103
    • Berkman, H.1    Truong, C.2
  • 11
    • 78049296241 scopus 로고    scopus 로고
    • Why Designate Market Makers? Affirmative Obligations and Market Quality
    • Working Paper.
    • Bessembinder, Hendrik, Hao, Jia, Lemmon, Michael, 2008. Why Designate Market Makers? Affirmative Obligations and Market Quality. Working Paper.
    • (2008)
    • Bessembinder1    Hendrik2    Hao3    Jia4    Lemmon5    Michael6
  • 12
    • 84993843493 scopus 로고
    • An empirical analysis of the limit order book and the order flow in the Paris Bourse
    • Biais Bruno, Hillion Pierre, Spatt Chester S. An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance 1995, 50:1655-1689.
    • (1995) Journal of Finance , vol.50 , pp. 1655-1689
    • Biais, B.1    Hillion, P.2    Spatt, C.S.3
  • 13
    • 0742276590 scopus 로고    scopus 로고
    • The "incomplete revelation hypothesis" and financial reporting
    • Bloomfield Robert J. The "incomplete revelation hypothesis" and financial reporting. Accounting Horizons 2002, 16:233-243.
    • (2002) Accounting Horizons , vol.16 , pp. 233-243
    • Bloomfield, R.J.1
  • 14
    • 84859990841 scopus 로고    scopus 로고
    • Hello Hybrid, Goodbye Price Improvement!. UNX Strategy Paper.
    • Boni, Leslie, Rosen, Michael, 2006. Hello Hybrid, Goodbye Price Improvement!. UNX Strategy Paper.
    • (2006)
    • Boni1    Leslie2    Rosen3    Michael4
  • 15
    • 67349089113 scopus 로고    scopus 로고
    • Dealer attention, the speed of quote adjustment to information, and net dollar revenue
    • Boulatov Alex, Hatch Brian C., Johnson Shane A., Lei Adam Y.C. Dealer attention, the speed of quote adjustment to information, and net dollar revenue. Journal of Banking and Finance 2009, 33:1531-1542.
    • (2009) Journal of Banking and Finance , vol.33 , pp. 1531-1542
    • Boulatov, A.1    Hatch, B.C.2    Johnson, S.A.3    Lei, A.Y.C.4
  • 16
    • 18944372804 scopus 로고    scopus 로고
    • A temporal analysis of thresholds: propensities and valuation consequences
    • Brown Lawrence D., Caylor Marcus L. A temporal analysis of thresholds: propensities and valuation consequences. Accounting Review 2005, 80:423-440.
    • (2005) Accounting Review , vol.80 , pp. 423-440
    • Brown, L.D.1    Caylor, M.L.2
  • 20
    • 70349415619 scopus 로고    scopus 로고
    • Market making in international capital markets: challenges and benefits of its implementation in emerging markets
    • Charitou Andreas, Panayides Marios A. Market making in international capital markets: challenges and benefits of its implementation in emerging markets. International Journal of Managerial Finance 2009, 5:50-80.
    • (2009) International Journal of Managerial Finance , vol.5 , pp. 50-80
    • Charitou, A.1    Panayides, M.A.2
  • 24
    • 55949091140 scopus 로고    scopus 로고
    • Limited attention and the allocation of effort in securities trading
    • Corwin Shane A., Coughenour Jay F. Limited attention and the allocation of effort in securities trading. Journal of Finance 2008, 63:3031-3067.
    • (2008) Journal of Finance , vol.63 , pp. 3031-3067
    • Corwin, S.A.1    Coughenour, J.F.2
  • 25
    • 77953887285 scopus 로고    scopus 로고
    • Understanding earnings quality: a review of the proxies, their determinants and their consequences
    • Dechow Patricia, Ge Weili, Schrand Catherine Understanding earnings quality: a review of the proxies, their determinants and their consequences. Journal of Accounting and Economics 2010, 50:344-401.
    • (2010) Journal of Accounting and Economics , vol.50 , pp. 344-401
    • Dechow, P.1    Ge, W.2    Schrand, C.3
  • 26
    • 62449165111 scopus 로고    scopus 로고
    • Investor inattention and Friday earnings announcements
    • DellaVigna Stefano, Pollet Joshua Investor inattention and Friday earnings announcements. Journal of Finance 2009, 64:709-749.
    • (2009) Journal of Finance , vol.64 , pp. 709-749
    • DellaVigna, S.1    Pollet, J.2
  • 27
  • 28
    • 77957118906 scopus 로고    scopus 로고
    • Microstructure and ambiguity
    • Easley David, O'Hara Maureen Microstructure and ambiguity. Journal of Finance 2010, 65:1817-1846.
    • (2010) Journal of Finance , vol.65 , pp. 1817-1846
    • Easley, D.1    O'Hara, M.2
  • 29
    • 84859990842 scopus 로고    scopus 로고
    • Liquidity Cycles and Make/Take Fees in Electronic Markets. Working Paper.
    • Foucault, Thierry, Kadan, Ohad, Kandel, Eugene, 2011. Liquidity Cycles and Make/Take Fees in Electronic Markets. Working Paper.
    • (2011)
    • Foucault1    Thierry2    Kadan3    Ohad4    Kandel5    Eugene6
  • 31
    • 0001121281 scopus 로고
    • Unexpected earnings and intra-industry information transfers: further evidence
    • Han Jerry C.Y., Wild John J. Unexpected earnings and intra-industry information transfers: further evidence. Journal of Accounting Research 1990, 28:211-219.
    • (1990) Journal of Accounting Research , vol.28 , pp. 211-219
    • Han, J.C.Y.1    Wild, J.J.2
  • 32
    • 0030555417 scopus 로고    scopus 로고
    • Market versus limit orders: the SuperDOT evidence on order submission strategy
    • Harris Lawrence, Hasbrouck Joel Market versus limit orders: the SuperDOT evidence on order submission strategy. Journal of Financial and Quantitative Analysis 1996, 31:213-231.
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , pp. 213-231
    • Harris, L.1    Hasbrouck, J.2
  • 33
    • 0000760894 scopus 로고    scopus 로고
    • Common factors in prices, order flows and liquidity
    • Hasbrouck Joel, Seppi Duane Common factors in prices, order flows and liquidity. Journal of Financial Economics 2001, 59:383-411.
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.2
  • 34
    • 79958068756 scopus 로고    scopus 로고
    • Automation, speed and stock market quality: the NYSE's Hybrid
    • Hendershott Terrence, Moulton Pamela C. Automation, speed and stock market quality: the NYSE's Hybrid. Journal of Financial Markets 2011, 14:568-604.
    • (2011) Journal of Financial Markets , vol.14 , pp. 568-604
    • Hendershott, T.1    Moulton, P.C.2
  • 36
    • 70349495343 scopus 로고    scopus 로고
    • Driven to distraction: extraneous events and underreaction to earnings news
    • Hirshleifer David, Seongyeon Lim Sonya, Hong Teoh Siew Driven to distraction: extraneous events and underreaction to earnings news. Journal of Finance 2009, 64:2289-2325.
    • (2009) Journal of Finance , vol.64 , pp. 2289-2325
    • Hirshleifer, D.1    Seongyeon Lim, S.2    Hong Teoh, S.3
  • 37
    • 0742321678 scopus 로고    scopus 로고
    • Limited attention, information disclosure, and financial reporting
    • Hirshleifer David, Teoh Siew Hong Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 2003, 36:337-386.
    • (2003) Journal of Accounting and Economics , vol.36 , pp. 337-386
    • Hirshleifer, D.1    Teoh, S.H.2
  • 38
    • 0142157069 scopus 로고    scopus 로고
    • Does shareholder composition matter? Evidence from the market reaction to corporate earnings announcements
    • Hotchkiss Edith, Strickland Deon Does shareholder composition matter? Evidence from the market reaction to corporate earnings announcements. Journal of Finance 2003, 58:1469-1498.
    • (2003) Journal of Finance , vol.58 , pp. 1469-1498
    • Hotchkiss, E.1    Strickland, D.2
  • 39
    • 0035595262 scopus 로고    scopus 로고
    • Familiarity breeds investment
    • Huberman Gur Familiarity breeds investment. Review of Financial Studies 2001, 14:659-680.
    • (2001) Review of Financial Studies , vol.14 , pp. 659-680
    • Huberman, G.1
  • 40
    • 0040291376 scopus 로고    scopus 로고
    • Contagious speculation and a cure for cancer: a nonevent that made stock prices soar
    • Huberman Gur, Regev Tomer Contagious speculation and a cure for cancer: a nonevent that made stock prices soar. Journal of Finance 2001, 56:387-396.
    • (2001) Journal of Finance , vol.56 , pp. 387-396
    • Huberman, G.1    Regev, T.2
  • 41
    • 28244482621 scopus 로고    scopus 로고
    • Financial market design and the equity premium: electronic versus floor trading
    • Jain Pankaj Financial market design and the equity premium: electronic versus floor trading. Journal of Finance 2005, 60:2955-2985.
    • (2005) Journal of Finance , vol.60 , pp. 2955-2985
    • Jain, P.1
  • 42
    • 0003422547 scopus 로고
    • Prentice-Hall, Englewood Cliffs, NY
    • Kahneman Daniel Attention and Effort 1973, Prentice-Hall, Englewood Cliffs, NY.
    • (1973) Attention and Effort
    • Kahneman, D.1
  • 43
    • 0036628373 scopus 로고    scopus 로고
    • Does meeting earnings expectations matter? Evidence from analyst forecast revisions and share prices
    • Kasznik Ron, McNichols Maureen F. Does meeting earnings expectations matter? Evidence from analyst forecast revisions and share prices. Journal of Accounting Research 2002, 40:727-759.
    • (2002) Journal of Accounting Research , vol.40 , pp. 727-759
    • Kasznik, R.1    McNichols, M.F.2
  • 44
    • 0001890588 scopus 로고
    • Market liquidity and volume around earnings announcements
    • Kim Oliver, Verrecchia Robert E. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 1994, 17:41-67.
    • (1994) Journal of Accounting and Economics , vol.17 , pp. 41-67
    • Kim, O.1    Verrecchia, R.E.2
  • 45
    • 32544446932 scopus 로고    scopus 로고
    • Stock returns, aggregate earnings surprises, and behavioral finance
    • Kothari S.P., Lewellen Jonathan W., Warner Jerold B. Stock returns, aggregate earnings surprises, and behavioral finance. Journal of Financial Economics 2006, 79:537-568.
    • (2006) Journal of Financial Economics , vol.79 , pp. 537-568
    • Kothari, S.P.1    Lewellen, J.W.2    Warner, J.B.3
  • 46
    • 3843112765 scopus 로고
    • Spreads, depths, and the impact of earnings information: an intraday analysis
    • Lee Charles M.C., Mucklow Belinda, Ready Mark J. Spreads, depths, and the impact of earnings information: an intraday analysis. Review of Financial Studies 1993, 6:345-374.
    • (1993) Review of Financial Studies , vol.6 , pp. 345-374
    • Lee, C.M.C.1    Mucklow, B.2    Ready, M.J.3
  • 47
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee Charles M.C., Ready Mark J. Inferring trade direction from intraday data. Journal of Finance 1991, 46:733-747.
    • (1991) Journal of Finance , vol.46 , pp. 733-747
    • Lee, C.M.C.1    Ready, M.J.2
  • 48
    • 84859990843 scopus 로고    scopus 로고
    • Do Investors Demand Higher Returns on High Information Asymmetry Days?
    • Working Paper.
    • Levi, Shai, Zhang, Xiao-Jun, 2011. Do Investors Demand Higher Returns on High Information Asymmetry Days? Working Paper.
    • (2011)
    • Levi1    Shai2    Zhang3    Xiao-Jun4
  • 49
  • 50
    • 84859977864 scopus 로고    scopus 로고
    • The NYSE: Faster (and lonelier). 24 January, C1
    • Lucchetti, Aaron, 2007. The NYSE: Faster (and lonelier). Wall Street Journal, 24 January, C1.
    • (2007) Wall Street Journal
    • Lucchetti1    Aaron2
  • 51
    • 0000603420 scopus 로고    scopus 로고
    • An empirical analysis of NYSE specialist trading
    • Madhavan Ananth, Sofianos George An empirical analysis of NYSE specialist trading. Journal of Financial Economics 1998, 48:189-210.
    • (1998) Journal of Financial Economics , vol.48 , pp. 189-210
    • Madhavan, A.1    Sofianos, G.2
  • 52
    • 0037699599 scopus 로고    scopus 로고
    • Do firms manage inventory on a stock-by-stock or a portfolio basis?
    • Naik Narayan Y., Yadav Pradeep K. Do firms manage inventory on a stock-by-stock or a portfolio basis?. Journal of Financial Economics 2003, 69:325-353.
    • (2003) Journal of Financial Economics , vol.69 , pp. 325-353
    • Naik, N.Y.1    Yadav, P.K.2
  • 53
    • 0030130692 scopus 로고    scopus 로고
    • Cognitive task analysis: harmonizing tasks to human capacities
    • Neerincx Mark, Griffioen Erik Cognitive task analysis: harmonizing tasks to human capacities. Ergonomics 1996, 39:543-561.
    • (1996) Ergonomics , vol.39 , pp. 543-561
    • Neerincx, M.1    Griffioen, E.2
  • 54
    • 84859939676 scopus 로고    scopus 로고
    • N.Y.S.E. Group, A Guide to the NYSE Marketplace. Document Available Online At:
    • N.Y.S.E. Group, 2006a. A Guide to the NYSE Marketplace. Document Available Online At: http://www.nyse.com/pdfs/nyse_bluebook.pdf.
    • (2006)
  • 55
    • 84859977863 scopus 로고    scopus 로고
    • N.Y.S.E. Group, NYSE Hybrid FAQ. Document Available Online At:
    • N.Y.S.E. Group, 2006b. NYSE Hybrid FAQ. Document Available Online At: http://www.nyse.com/productservices/nyseequities/1126821290257.html.
    • (2006)
  • 56
  • 58
    • 84859957968 scopus 로고    scopus 로고
    • Strategic Cross-Trading in the U.S. Stock Market. Working Paper.
    • Pasquariello, Paolo, Vega, Clara, 2011. Strategic Cross-Trading in the U.S. Stock Market. Working Paper.
    • (2011)
    • Pasquariello1    Paolo2    Vega3    Clara4
  • 60
    • 33646497234 scopus 로고    scopus 로고
    • Investor attention, overconfidence and category learning
    • Peng Lin, Xiong Wei Investor attention, overconfidence and category learning. Journal of Financial Economics 2006, 80:563-602.
    • (2006) Journal of Financial Economics , vol.80 , pp. 563-602
    • Peng, L.1    Xiong, W.2
  • 61
    • 0036000749 scopus 로고    scopus 로고
    • Market-makers' supply and pricing of financial market liquidity
    • Shen Pu, Starr Ross Market-makers' supply and pricing of financial market liquidity. Economics Letters 2002, 76:53-58.
    • (2002) Economics Letters , vol.76 , pp. 53-58
    • Shen, P.1    Starr, R.2
  • 62
    • 0038521562 scopus 로고    scopus 로고
    • Implications of rational inattention
    • Sims Christopher A. Implications of rational inattention. Journal of Monetary Economics 2003, 50:665-690.
    • (2003) Journal of Monetary Economics , vol.50 , pp. 665-690
    • Sims, C.A.1
  • 63
    • 33744541116 scopus 로고    scopus 로고
    • Rational inattention: beyond the linear-quadratic case
    • Sims Christopher A. Rational inattention: beyond the linear-quadratic case. American Economic Review 2006, 96:158-163.
    • (2006) American Economic Review , vol.96 , pp. 158-163
    • Sims, C.A.1
  • 64
    • 0030163299 scopus 로고    scopus 로고
    • Estimating earnings response coefficients: pooled versus firm-specific models
    • Teets Walter R., Wasley Charles E. Estimating earnings response coefficients: pooled versus firm-specific models. Journal of Accounting and Economics 1996, 21:279-295.
    • (1996) Journal of Accounting and Economics , vol.21 , pp. 279-295
    • Teets, W.R.1    Wasley, C.E.2
  • 65
    • 78149500334 scopus 로고    scopus 로고
    • Simple formulas for standard errors that cluster by both firm and time
    • Thompson Samuel Simple formulas for standard errors that cluster by both firm and time. Journal of Financial Economics 2011, 99:1-10.
    • (2011) Journal of Financial Economics , vol.99 , pp. 1-10
    • Thompson, S.1
  • 66
    • 85008798869 scopus 로고    scopus 로고
    • Attention and automation: new perspectives on mental workload and performance
    • Young Mark S., Stanton Neil A. Attention and automation: new perspectives on mental workload and performance. Theoretical Issues in Ergonomics Science 2002, 3:178-194.
    • (2002) Theoretical Issues in Ergonomics Science , vol.3 , pp. 178-194
    • Young, M.S.1    Stanton, N.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.