Investor Inattention and Friday Earnings Announcements
Abstract
Does limited attention among investors affect stock returns? We compare the response to earnings announcements on Friday, when investor inattention is more likely, to the response on other weekdays. If inattention influences stock prices, we should observe less immediate response and more drift for Friday announcements. Indeed, Friday announcements have a 15% lower immediate response and a 70% higher delayed response. A portfolio investing in differential Friday drift earns substantial abnormal returns. In addition, trading volume is 8% lower around Friday announcements. These findings support explanations of post‐earnings announcement drift based on underreaction to information caused by limited attention.
Integrity signals
Registry
Cites
Statistics
Claims the paper makes
Claims other papers make about this one
Each is checked against this paper’s own text: does it say what the citing paper says it does?
Investors tend to pay more attention to bad news than good news.
“Investors tend to pay more attention to bad news than good news, which is supported by Wall Street adage that 'markets take the stairs up and the elevator down' and by index option trading where fund managers focus on hedging downside risk (e.g., Chen, Joslin, and Ni, 2019).”
From ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy? (2025) · cites this paper as DellaVigna and Pollet, 2009
Cited by
Sorted by citations
Can ChatGPT forecast stock price movements? Return predictability and large language models
Lopez-Lira, A., & Tang, Y. (2026) · Journal of Financial Economics · doi:10.1016/j.jfineco.2026.104335 · Cited by 425 · see citing works
Learning and the disappearing association between governance and returns
Bebchuk, L. A., Cohen, A., & Wang, C. C. Y. (2013) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.10.004 · Cited by 311 · see citing works
Why Do Borrowers Make Mortgage Refinancing Mistakes?
Agarwal, S., Rosen, R. J., & Yao, V. (2016) · Management Science · doi:10.1287/mnsc.2015.2272 · Cited by 173 · see citing works
ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?
Chen, J., Tang, G., Zhou, G., & Zhu, W. (2025) · arXiv · doi:10.48550/arxiv.2502.10008 · Cited by 6 · see citing works
- Authors
- DELLAVIGNA, S., & POLLET, J. M.
- Affiliations
- University of California, Berkeley (US)
- Emory University (US)
- ORCID
- POLLET, JOSHUA M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2009-03-13
- Volume
- 64
- Issue
- 2
- Pages
- 709-749
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2113443463
- Cited by
- 1,743
- References
- 0
- Citations by year
- 2026: 108 · 2025: 162 · 2024: 154 · 2023: 145 · 2022: 124 · 2021: 115 · 2020: 111 · 2019: 100 · 2018: 112 · 2017: 114 · 2016: 99 · 2015: 80 · 2014: 78 · 2013: 75 · 2012: 65
- FWCI
- 87.24
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- The Journal of Finance (publishedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Keywords
- investor inattention, post-earnings announcement drift, limited attention, underreaction, stock returns, trading volume, abnormal returns, information processing
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
