《让我好好想想:睡眠与投资者对盈利意外的反应

Jens Hagendorff, Angelica Gonzalez, Xuhao Li
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引用次数: 0

摘要

我们将探讨睡眠剥夺是否会影响投资者对相关新闻的反应。我们利用春季过渡到夏令时(DST)作为睡眠模式的中断,表明投资者在过渡到夏令时后的几天里对公司的盈利意外反应不足。此外,在过渡到DST后的日子里,盈利意外与公告后时期的积极变化有关。我们的发现与睡眠不足的投资者错误定价并随后重新评估相关信息是一致的。总体而言,我们的研究结果突出了投资者认知能力对有效市场定价的重要性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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