Premium
Are Friday announcements special in a continuous disclosure environment?
Author(s) -
Chapple Larelle,
Duong Lien,
Truong Thu Phuong
Publication year - 2021
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12652
Subject(s) - intuition , earnings , adverse selection , market efficiency , natural experiment , business , efficient market hypothesis , monetary economics , selection (genetic algorithm) , accounting , financial economics , economics , actuarial science , psychology , stock market , computer science , paleontology , statistics , mathematics , horse , biology , cognitive science , artificial intelligence
We re‐test the intuition that investors and traders could be preoccupied with the upcoming weekend and pay less attention to Friday corporate announcements in the continuous disclosure environment of Australia. The market reaction to Friday announcements in the US, except for earnings announcements, disappears after correcting for selection bias. However, there is no evidence of investor inattention to Friday announcements in Australia, indicating that a continuous disclosure environment improves disclosure timeliness and market efficiency. The investor attention theory is significantly challenged in a unique natural setting where the potential selection bias to delay material information release to Fridays is eliminated.