Motivated by insights from psychology, a growing body of behavioral finance research highlights the importance of investors attention constraints. Collectively, this work suggests that time-series and cross-sectional variation in attention might not only materially affect the quality of market...

Post-earnings announcement drift is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure....