{"title":"《让我好好想想:睡眠与投资者对盈利意外的反应","authors":"Jens Hagendorff, Angelica Gonzalez, Xuhao Li","doi":"10.2139/ssrn.3803494","DOIUrl":null,"url":null,"abstract":"We explore if sleep deprivation affects how investors react to relevant news. Using the transition to Daylight Saving Time (DST) in the spring as a disruption to sleeping patterns, we show that investors underreact to a firm’s earnings surprise in the days after the transition to DST. Further, an earnings surprise in the days after the transition to DST is associated with a positive drift in the post-announcement period. Our findings are consistent with sleep-deprived investors mispricing and subsequently reassessing relevant information. Overall, our results highlight the importance of investors' cognitive ability for efficient market pricing.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"236 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Let Me Sleep on It: Sleep and Investor Reactions to Earnings Surprises\",\"authors\":\"Jens Hagendorff, Angelica Gonzalez, Xuhao Li\",\"doi\":\"10.2139/ssrn.3803494\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We explore if sleep deprivation affects how investors react to relevant news. Using the transition to Daylight Saving Time (DST) in the spring as a disruption to sleeping patterns, we show that investors underreact to a firm’s earnings surprise in the days after the transition to DST. Further, an earnings surprise in the days after the transition to DST is associated with a positive drift in the post-announcement period. Our findings are consistent with sleep-deprived investors mispricing and subsequently reassessing relevant information. Overall, our results highlight the importance of investors' cognitive ability for efficient market pricing.\",\"PeriodicalId\":365642,\"journal\":{\"name\":\"ERN: Behavioral Finance (Microeconomics) (Topic)\",\"volume\":\"236 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Behavioral Finance (Microeconomics) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3803494\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Behavioral Finance (Microeconomics) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3803494","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Let Me Sleep on It: Sleep and Investor Reactions to Earnings Surprises
We explore if sleep deprivation affects how investors react to relevant news. Using the transition to Daylight Saving Time (DST) in the spring as a disruption to sleeping patterns, we show that investors underreact to a firm’s earnings surprise in the days after the transition to DST. Further, an earnings surprise in the days after the transition to DST is associated with a positive drift in the post-announcement period. Our findings are consistent with sleep-deprived investors mispricing and subsequently reassessing relevant information. Overall, our results highlight the importance of investors' cognitive ability for efficient market pricing.