Investor Inattention, Firm Reaction, and Friday Earnings Announcements
Bibliographic record
Abstract
Do firms release news strategically in response to investor inattention?We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays.Friday announcements have less immediate and more delayed stock return response.The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays.In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements.These findings suggest that weekends distract investor attention temporarily.They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention.We also document that firms release worse announcements on Friday.Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return.The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday.The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.012 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".