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Limited attention and the earnings announcement returns of past stock market winners
16 references·16 citing·31 second hopsampled
Limited attention and the earnings announcement returns of past stock market winners (2009)Limited attention and the earnings announ…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Do Retail Trades Move Markets? (2008)Do Retail Trades Move Markets?Dissecting Anomalies (2007)Dissecting AnomaliesAll That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Trading Volume, Information Asymmetry, and Timing Information (2005)Trading Volume, Information A…All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2005)All that Glitters: The Effect…Do investors overvalue firms with bloated balance sheets? (2004)Do investors overvalue firms …The Predictive Value of Expenses Excluded from Pro Forma Earnings (2003)The Predictive Value of Expen…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Earnings Releases, Anomalies, and the Behavior of Security Returns. (1984)Earnings Releases, Anomalies,…Investor attention and corporate ESG performance (2023)Investor attention and corpor…Enterprise digital transformation, breadth of ownership and stock price volatility (2023)Enterprise digital transforma…Retail Attention, Institutional Attention (2022)Retail Attention, Institution…Option Return Predictability (2021)Option Return PredictabilityInvestor attention and cryptocurrency: Evidence from the Bitcoin market (2021)Investor attention and crypto…The role of investor attention in predicting stock prices: The long short-term memory networks perspective (2020)The role of investor attentio…When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases (2019)When Does Attention Matter? T…Earnings notifications, investor attention, and the earnings announcement premium (2018)Earnings notifications, inves…Earnings Announcement Promotions: A Yahoo Finance Field Experiment (2017)Earnings Announcement Promoti…Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements (2016)Time-Varying Demand for Lotte…The Comovement of Investor Attention (2016)The Comovement of Investor At…Alliances and Return Predictability (2016)Alliances and Return Predicta…Limited attention of individual investors and stock performance: Evidence from the ChiNext market (2015)Limited attention of individu…The Earnings Announcement Premium Around the Globe (2012)The Earnings Announcement Pre…It's Showtime: Do Managers Report Better News Before Annual Shareholder Meetings? (2011)It's Showtime: Do Managers Re…Earnings Announcements and Attention Constraints: The Role of Market Design (2011)Earnings Announcements and At…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Innovative efficiency and stock returns (2012)Sentiment During Recessions (2012)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Asset Growth and the Cross‐Section of Stock Returns (2008)Hedging Climate Change News (2019)Firm‐Level Climate Change Exposure (2023)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2005All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors1,140 cited
  • 2008Do Retail Trades Move Markets?903 cited
  • 2004Do investors overvalue firms with bloated balance sheets?805 cited
  • 1984Earnings Releases, Anomalies, and the Behavior of Security Returns.552 cited
  • 2005Trading Volume, Information Asymmetry, and Timing Information

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549 cited
  • 2003The Predictive Value of Expenses Excluded from Pro Forma Earnings533 cited
  • Cited by

    • 2012The Earnings Announcement Premium Around the Globe155 cited
    • 2016The Comovement of Investor Attention137 cited
    • 2023Enterprise digital transformation, breadth of ownership and stock price volatility133 cited
    • 2023Investor attention and corporate ESG performance123 cited
    • 2021Option Return Predictability116 cited
    • 2022Retail Attention, Institutional Attention109 cited
    • 2011It's Showtime: Do Managers Report Better News Before Annual Shareholder Meetings?108 cited
    • 2016Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements99 cited
    • 2020The role of investor attention in predicting stock prices: The long short-term memory networks perspective94 cited
    • 2017Earnings Announcement Promotions: A Yahoo Finance Field Experiment91 cited
    • 2015Limited attention of individual investors and stock performance: Evidence from the ChiNext market86 cited
    • 2011Earnings Announcements and Attention Constraints: The Role of Market Design85 cited
    • 2016Alliances and Return Predictability83 cited
    • 2021Investor attention and cryptocurrency: Evidence from the Bitcoin market72 cited
    • 2019When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases65 cited
    • 2018Earnings notifications, investor attention, and the earnings announcement premium62 cited