Video: Investor Attention and the Pricing of Earnings News

Asher Curtis - Assist. Prof. of Accounting - Foster School of Business | March 24, 2015

Asher investigates whether investor attention is associated with the pricing (and mispricing) of earnings news where investor attention is measured using social media activity.

He finds that high levels of investor attention are associated with greater sensitivity of earnings announcement returns to earnings surprises, with the effect being strongest for firms that beat analysts’ forecasts. This appears to be appropriate pricing, on average, as only firms with low levels of attention are associated with significant post-earnings-announcement drift.

His results are distinct from other information sources including traditional media outlets, financial blogs, and internet search engine activity. His results are consistent with investor attention observed in social media activity having distinct effects on the pricing and mispricing of earnings news.

Presentation held at the RavenPack 3rd Annual Research Symposium, New York, March 24th 2015.



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