Investors often hold differing opinions on public information quality. This paper shows that such investor disagreement provides a novel explanation for financial market dynamics around earnings announcements. We propose a rational expectations equilibrium model where investors disagree about the precision of a public signal, which separates a pre-news trading period from a post-news trading period. In equilibrium, investor disagreement about public signal precision diminishes informational price efficiency before the news, but enhances it afterward. Consequently, investor disagreement leads to a notable jump in informed trading around the news, a decline in abnormal trading volume before the news and a surge immediately after the news, and underreaction of stock price to announced earnings.

投资者常常对公共信息的质量持有不同的看法。本文表明，这种投资者的分歧为围绕收益公告的金融市场动态提供了新颖的解释。我们提出了一个理性预期均衡模型，其中投资者对公共信号的准确性存在分歧，该模型将新闻前交易期与新闻后交易期分开。在均衡状态下，投资者对公共信号精确度的分歧会在消息发布前降低信息价格效率，但在消息发布后会增强信息价格效率。因此，投资者的分歧导致消息发布后知情交易量显着增加，消息发布前异常交易量下降，消息发布后异常交易量激增，股价对公布的盈利反应不足。