Changing Tides: An Empirical Analysis of Decreasing Investor Inattention Through Friday Earnings Announcements

Abstract

This thesis aims to provide empirical evidence to the question: has the level of investor inattention changed with the enhancements in information technology that have revolutionized the investing world? The goal in answering this question is to contribute to the behavioral finance conversations regarding post-earnings announcement drift and momentum. Prior research has shown that Friday earnings announcements have up to a 60% more delayed stock return response compared to 40% on other weekdays (DellaVigna & Pollet, 2005). However, my results suggest that these numbers might be outdated. Specifically, I found that, on average, share prices on Fridays are 8.8% higher than they are on Tuesdays. I suggest that this finding is due to the advancements in information technology since 2007 that have dramatically increased the speed in which consumers access and process new information. The findings of this paper should be viewed as preliminary, and invite further research into the shifting levels of investor inattention.