Download or read book Limited Investor Attention And The Earnings Announcement Premium written by Kimball Chapman and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the extent to which limited investor attention explains positive average stock returns around earnings announcements. I observe positive abnormal returns on days when firms announce the date earnings will be released (earnings notification days) and lower returns around earnings announcements when firms begin providing earnings notifications. I find a similar effect for other highly-visible news events occurring soon before earnings announcements and higher returns around earnings announcements and when retail investors are more actively acquiring information about the firm. My results suggest that the attention-grabbing effect of earnings announcements provides a partial explanation of positive average returns around earnings announcements.