| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28931 |
| 来源ID | Working Paper 28931 |
| Macro News and Micro News: Complements or Substitutes? | |
| David Hirshleifer; Jinfei Sheng | |
| 发表日期 | 2021-06-21 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Behavioral Finance |
| URL | https://www.nber.org/papers/w28931 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586605 |
| 推荐引用方式 GB/T 7714 | David Hirshleifer,Jinfei Sheng. Macro News and Micro News: Complements or Substitutes?. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28931.pdf（993KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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