Inattentional blindness and Post-Earnings-Announcement-Drift

• Main Authors: Katsuhiko, Okada, Masao, Saeki
• Other Authors: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
• Format: Conference or Workshop Item
• Language: English
• Published: Trường Đại học Kinh tế 2020
• Subjects: News; Attention; Arbitrage; Underreaction; Trading strategies; Behavioral finance
• Online Access: http://repository.vnu.edu.vn/handle/VNU_123/97656
• Institution: Vietnam National University, Hanoi

Recent evidence in Psychology indicates that we are surprisingly unaware of the details of our environment from one view to the next. We often do not detect large changes to objects (‘change blindness’). Furthermore, without attention, we may not even perceive objects (‘inattentional blindness’). This paper tests the investor inattentional blindness hypothesis, which holds that the arrival of extraneous news causes trading and market prices to react sluggishly to relevant news about a firm. Our test focuses on the competition for professional investors’ attention between a firm's with eye-catchy streaming news and with less coverage. We find that a stock’s post-earnings-announcement-drift is stronger, when professional investors are in the state of ‘inattentional blindness’