December doldrums, investor distraction, and the stock market reaction to unscheduled news events

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-11-01 DOI:10.1016/j.finmar.2024.100928

Sudheer Chava , Nikhil Paradkar

引用次数: 0

Abstract

We examine how investor distraction during the December holiday season impacts the stock market’s reaction to salient firm-specific news. We find that both retail and institutional investor attention is significantly lower in December. Importantly, only unscheduled credit rating downgrades and 8-K filings experience lower investor attention in December; we find no equivalent effect for pre-scheduled earnings announcements. Consistently, we document significantly weaker market responses in December toward unscheduled firm news only. Firm prominence mitigates this December distraction effect. Our results highlight how investor distraction in December can lead to a muted market reaction to unscheduled, but salient, firm-specific news.

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十二月低迷、投资者分心以及股市对计划外新闻事件的反应

我们研究了投资者在 12 月假日季节的注意力分散如何影响股市对突出公司特定新闻的反应。我们发现，12 月份散户和机构投资者的关注度都明显降低。重要的是，只有计划外的信用评级下调和 8-K 文件在 12 月份才会降低投资者的关注度；我们没有发现计划前的盈利公告会产生同等影响。同样，我们发现 12 月份市场对计划外公司新闻的反应明显较弱。公司的突出地位减轻了 12 月份的分心效应。我们的研究结果凸显了投资者在 12 月份的注意力分散会如何导致市场对计划外但突出的特定公司新闻反应平淡。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.