We investigate the relationship between investor attention and stock returns in the context of extreme earnings surprises. We propose a novel mechanism that describes this interaction: high attention to very positive and very negative earnings news results in faster incorporation of information into stock prices, an overreaction effect, and a subsequent partial reversal. We test this mechanism using post-announcement abnormal returns and measure investor attention using internet search volume. We confirm that abnormal attention to earnings announcements is positively related to post-announcement abnormal returns when earnings surprises are very positive and negatively related when earnings surprises are very negative. More importantly, we argue that investors exhibit attention-driven overreactions to these extreme earnings surprises since the initial effects of abnormal attention on abnormal returns are subsequently partially reversed.

我们研究了极端盈利意外情况下投资者注意力与股票回报之间的关系。我们提出了一种描述这种相互作用的新颖机制：对非常积极和非常消极的盈利新闻的高度关注会导致信息更快地融入股票价格、过度反应效应以及随后的部分逆转。我们使用公告后的异常回报来测试这一机制，并使用互联网搜索量来衡量投资者的注意力。我们确认，当盈利意外非常积极时，对盈利公告的异常关注与公告后异常回报呈正相关；当盈利意外非常消极时，对盈利公告的异常关注与公告后异常回报呈负相关。更重要的是，我们认为投资者对这些极端的盈利意外表现出注意力驱动的过度反应，因为异常关注对异常回报的最初影响随后被部分逆转。