Aggregate Market Attention Around Earnings Announcements

This study examines the relation between both number and news content of earnings disclosures by firms and aggregate stock market trading activity. Consistent with the Hirshleifer, Lim, and Teoh (2009a) distraction hypothesis, among announcing firms the number of contemporaneous announcers reduces trading responses. However, among non-announcers the opposite holds. Trading in non-announcing stocks increases with number of announcers. Hence,...