Journal of Financial Economics, Volume 122, Issue 1, October 2016, Pages 65-85

星期五的公告是否特殊？克服選擇偏差

作者：Roni Michaely (Cornell University and Interdisciplinary Center), Amir Rubin (Interdisciplinary Center and Simon Fraser University), Alexander Vedrashko (Beedie School of Business, Simon Fraser University)

摘要：我們報告了市場對星期五發布的公告存在反應減少的現象，這些公告包括股息變動、股權再融資、股票回購、盈餘和兼并，反應減少的現象似乎源自投資者對周五信息的疏忽。然而，我們證明了這些發現是選擇性偏差的結果。那些在星期五發布公告的公司在其他工作日發布公告時也會經曆市場反應減少，并且不同的公告中存在着某些尚未被觀察到的共同特征。在修正了選擇性偏差之後，無法證明投資者對在星期五發布的公告注意力更少。這裡使用的方法也适用于對那些影響公司業績并且與公司特征相關的外生變量的研究。

關鍵詞：疏忽，星期五，選擇性偏差，公司公告，市場反應

Are Friday announcements special? Overcoming selection bias

Roni Michaely (Cornell University and Interdisciplinary Center), Amir Rubin (Interdisciplinary Center and Simon Fraser University), Alexander Vedrashko (Beedie School of Business, Simon Fraser University)

ABSTRACT

We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias, there is no evidence that investors pay less attention to announcements made on Fridays. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics.

Keywords: Inattention; Friday; Selection bias; Corporate announcements; Market reaction

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X16300976

翻譯：秦秀婷