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Investor attention and stock market under-reaction to earnings announcements: Evidence from the options market

  • Published:2017-11-23 Issue:4 Volume:38 Page:478-492
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:J Futures Markets

Author:

Wang Xuewu Wesley1ORCID,Yan Zhipeng2,Zhang Qunzi3,Gao Xuechen4

Affiliation:

1. Division of Finance, Michael F. Price College of Business; University of Oklahoma; Norman Oklahoma

2. Martin Tuchman School of Management; New Jersey Institute of Technology; Newark New Jersey

3. School of Economics; Shandong University; Jinan China

4. College of Business; University of Central Arkansas; Conway Arkansas

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference25 articles.

1. Abnormal returns to a fundamental analysis strategy;Abarbanell;The Accounting Review,1998

2. Option trading, price discovery, and earnings news dissemination;Amin;Contemporary Accounting Research,1997

3. The information in management's expected earnings report date: A day late, a penny short;Bagnoli;Journal of Accounting Research,2002

4. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors;Barber;Review of Financial Studies,2008

5. An informational efficiency perspective on the post-earnings-announcement drift;Bhushan;Journal of Accounting and Economics,1994
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