Friday evening earnings news travel slowly

Abstract

DellaVigna and Pollet (2009) hypothesize that Friday earnings announcements receive less attention than comparable earnings announcements on Monday through Thursday, presumably because market participants are distracted from work-related activities with the weekend approaching (Friday Distraction Hypothesis). The holistic approach developed throughout this study, addresses the main weakness in their research, the negligence of the after-hours adjustment, showing that the well-documented differential market reaction to Friday earnings news is, in fact, a phenomenon only present in evening announcements. Friday evening announcements are associated with a substantial reduced immediate reaction to both positive and negative earnings news relative to other weekdays’ evening announcements. In the following weeks, Friday evening announcements are the only ones contributing to the delayed overreaction to negative news. After controlling for other possible determinants of the Friday evening effect, there is striking evidence indicating that this effect is driven by non-attention causes, being largely attributed to firm heterogeneity. The Friday Distraction Hypothesis defended by DellaVigna and Pollet (2009) does not hold.

Date of Award	21 Jul 2016
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Joni Aleksi Kokkonen (Supervisor)