593
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Let me sleep on it: sleep and investor reactions to earnings surprises

&
Pages 1327-1344 | Received 01 Feb 2023, Accepted 16 Nov 2023, Published online: 29 Jan 2024

References

  • Abadie, Alberto, Alexis Diamond, and Jens Hainmueller. 2010. “Synthetic Control Methods for Comparative Case Studies: Estimating the Effect of California's Tobacco Control Program.” Journal of the American Statistical Association 105: 493–505. https://doi.org/10.1198/jasa.2009.ap08746.
  • Abadie, Alberto, and Javier Gardeazabal. 2003. “The Economic Costs of Conflict: A Case Study of the Basque Country.” American Economic Review 93: 113–132. https://doi.org/10.1257/000282803321455188.
  • Acemoglu, Daron, Simon Johnson, Amir Kermani, James Kwak, and Todd Mitton. 2016. “The Value of Connections in Turbulent Times: Evidence from the United States.” Journal of Financial Economics 121: 368–391.
  • Atiase, Rowland Kwame. 1985. “Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements.” Journal of Accounting Research 23: 21.
  • Barnes, Christopher M., and David T. Wagner. 2009. “Changing to Daylight Saving Time Cuts Into Sleep and Increases Workplace Injuries.” Journal of Applied Psychology 94: 1305–1317. https://doi.org/10.1037/a0015320.
  • Bartov, E., S. Radhakrishnan, and I. Krinsky. 2000. “Investor Sophistication and Patterns in Stock Returns After Earnings Announcements.” The Accounting Review 75 (1): 43–63. https://doi.org/10.2308/accr.2000.75.1.43.
  • Bedrosian, T. A., and R. J. Nelson. 2017. “Timing of Light Exposure Affects Mood and Brain Circuits.” Translational Psychiatry 7 (1), https://doi.org/10.1038/tp.2016.262.
  • Bernard, V. L., and J. K. Thomas. 1990. “Evidence That Stock Prices do not Fully Reflect the Implications of Current Earnings for Future Earnings.” Journal of Accounting and Economics 13 (4): 305–340. https://doi.org/10.1016/0165-4101(90)90008-R.
  • Bhushan, Ravi. 1989. “Collection of Information About Publicly Traded Firms.” Journal of Accounting and Economics 11: 183–206. https://doi.org/10.1016/0165-4101(89)90005-0.
  • Bhushan, R. 1994. “An Informational Efficiency Perspective on the Post-Earnings Announcement Drift.” Journal of Accounting and Economics 18 (1): 45–65. https://doi.org/10.1016/0165-4101(94)90018-3.
  • Birru, Justin. 2018. “Day of the Week and the Cross-Section of Returns.” Journal of Financial Economics 130: 182–214. https://doi.org/10.1016/j.jfineco.2018.06.008.
  • Boehmer, Ekkehart, Kingsley Fong, and Juan (Julie) Wu. 2020. “Algorithmic Trading and Market Quality: International Evidence.” Journal of Financial and Quantitative Analysis, 1–30.
  • Bouttell, Janet, Peter Craig, James Lewsey, Mark Robinson, and Frank Popham. Synthetic Control Methodology as a Tool for Evaluating Population-Level Health Interventions.” Journal of Epidemiology and Community Health 72: 673–678. https://doi.org/10.1136/jech-2017-210106.
  • Brogaard, Jonathan, Terrence Hendershott, and Ryan Riordan. 2017. “High Frequency Trading and the 2008 Short-Sale Ban.” Journal of Financial Economics 124: 22–42. https://doi.org/10.1016/j.jfineco.2017.01.008.
  • Cao, Sean Shun, and Ganapathi S. Narayanamoorthy. 2011. “Earnings Volatility, Post-Earnings Announcement Drift, and Trading Frictions.” Journal of Accounting Research 50: 41–74.
  • Collins, Daniel W., S. P. Kothari, and Judy Dawson Rayburn. 1987. “Firm Size and the Information Content of Prices with Respect to Earnings.” Journal of Accounting and Economics 9: 111–138. https://doi.org/10.1016/0165-4101(87)90002-4.
  • Conrad, Jennifer, Sunil Wahal, and Jin Xiang. 2015. “High-Frequency Quoting, Trading, and the Efficiency of Prices.” Journal of Financial Economics 116: 271–291. https://doi.org/10.1016/j.jfineco.2015.02.008.
  • Costa-Font, Joan, and Sarah Flèche. 2017. Parental Sleep and Employment: Evidence from a British Cohort Study, CEP Discussion Papers dp1467, Centre for Economic Performance, LSE.
  • Dawson, Drew, and Kathryn Reid. 1997. “Fatigue, Alcohol and Performance Impairment.” Nature 388: 235–235. https://doi.org/10.1038/40775.
  • DellaVigna, Stefano, and Joshua Pollet. 2009. “Investor Inattention and Friday Earnings Announcements.” The Journal of Finance 64: 709–749. https://doi.org/10.1111/j.1540-6261.2009.01447.x.
  • Drake, Michael S., Kurt H. Gee, and Jacob R. Thornock. 2016. “March Market Madness: The Impact of Value-Irrelevant Events on the Market Pricing of Earnings News.” Contemporary Accounting Research 33: 172–203. https://doi.org/10.1111/1911-3846.12149.
  • Fedyk, A. 2018. “Front Page News.” The Effect of News Positioning on Financial Markets. Working Paper.
  • Forgas, Joseph P., and Gordon H. Bower. 1988. “Affect in Social Judgments.” Australian Journal of Psychology 40: 125–145. https://doi.org/10.1080/00049538808259077.
  • Frankel, Richard, and Xu Li. 2004. “Characteristics of a Firm's Information Environment and the Information Asymmetry Between Insiders and Outsiders.” Journal of Accounting and Economics 37 (2): 229–259. https://doi.org/10.1016/j.jacceco.2003.09.004.
  • Freeman, Robert N. 1987. “The Association Between Accounting Earnings and Security Returns for Large and Small Firms.” Journal of Accounting and Economics 9: 195–228. https://doi.org/10.1016/0165-4101(87)90005-X.
  • Gibbings, A., L. B. Ray, N. Berberian, T. Nguyen, A. Shahidi Zandi, A. M. Owen, F. J. E. Comeau, and S. M. Fogel. 2021. “EEG and Behavioural Correlates of Mild Sleep Deprivation and Vigilance.” Clinical Neurophysiology 132: 45–55. https://doi.org/10.1016/j.clinph.2020.10.010.
  • Gibson, Matthew, and Jeffrey Shrader. 2018. “Time Use and Labor Productivity: The Returns to Sleep.” The Review of Economics and Statistics 100: 783–798. https://doi.org/10.1162/rest_a_00746.
  • Giglio, Stefano, and Kelly Shue. 2014. No News Is News: Do Markets Underreact to Nothing? Review of Financial Studies 27: 3389–3440.
  • Goetzmann, William N., Dasol Kim, Alok Kumar, and Qin Wang. 2015. “Weather-Induced Mood, Institutional Investors, and Stock Returns.” Review of Financial Studies 28: 73–111. https://doi.org/10.1093/rfs/hhu063.
  • Grant, Edward B. 1980. “Market Implications of Differential Amounts of Interim Information.” Journal of Accounting Research 18: 255. https://doi.org/10.2307/2490401.
  • Gregory-Allen, Russell, Ben Jacobsen, and Wessel Marquering. 2010. “The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction?” Journal of Financial Research 33: 403–427. https://doi.org/10.1111/j.1475-6803.2010.01274.x.
  • Harrison, Yvonne. 2013. “The Impact of Daylight Saving Time on Sleep and Related Behaviours.” Sleep Medicine Reviews 17: 285–292. https://doi.org/10.1016/j.smrv.2012.10.001.
  • Hendershott, Terrence, Charles M. Jones, and Albert J. Menkveld. 2011. “Does Algorithmic Trading Improve Liquidity?” The Journal of Finance 66: 1–33. https://doi.org/10.1111/j.1540-6261.2010.01624.x.
  • Hillman, David, Scott Mitchell, Jared Streatfeild, Chloe Burns, Dorothy Bruck, and Lynne Pezzullo. 2018. “The Economic Cost of Inadequate Sleep.” Sleep 41.
  • Hirshleifer, David, Sonya Seongyeon Lim, and Siew Hong Teoh. 2009. “Driven to Distraction: Extraneous Events and Underreaction to Earnings News.” The Journal of Finance 64: 2289–2325. https://doi.org/10.1111/j.1540-6261.2009.01501.x.
  • Hirshleifer, David, and Tyler Shumway. 2003. “Good Day Sunshine: Stock Returns and the Weather.” The Journal of Finance 58: 1009–1032. https://doi.org/10.1111/1540-6261.00556.
  • Holthausen, R. W., and R. E. Verrecchia. 1988. “The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market.” Journal of Accounting Research 26 (1): 82–106. https://doi.org/10.2307/2491114.
  • Isen, Alice M., Thomas E. Shalker, Margaret Clark, and Lynn Karp. 1978. “Affect, Accessibility of Material in Memory, and Behavior: A Cognitive Loop?” Journal of Personality and Social Psychology 36: 1–12. https://doi.org/10.1037/0022-3514.36.1.1.
  • Israeli, Doron, Ron Kasznik, and Suhas A. Sridharan. 2020. “Unexpected Distractions and Investor Attention to Corporate Announcements.” Review of Accounting Studies, Forthcoming.
  • Janszky, Imre, Staffan Ahnve, Rickard Ljung, Kenneth J. Mukamal, Shiva Gautam, Lars Wallentin, and Ulf Stenestrand. 2012. “Daylight Saving Time Shifts and Incidence of Acute Myocardial Infarction – Swedish Register of Information and Knowledge About Swedish Heart Intensive Care Admissions (RIKS-HIA).” Sleep Medicine 13: 237–242. https://doi.org/10.1016/j.sleep.2011.07.019.
  • Jarvenpaa, S. L. 1989. “The Effect of Task Demands and Graphical Format on Information Processing Strategies.” Management Science 35 (3): 285–303. https://doi.org/10.1287/mnsc.35.3.285.
  • Jennings, J. R., T. H. Monk, and M. W. van der Molen. 2003. “Sleep Deprivation Influences Some but Not All Processes of Supervisory Attention.” Psychological Science 14: 473–486. https://doi.org/10.1111/1467-9280.02456.
  • Johnson, W. B., and R. Zhao. 2012. “Contrarian Share Price Reactions to Earnings Surprises.” Journal of Accounting, Auditing & Finance 27 (2): 236–266. https://doi.org/10.1177/0148558X11409152.
  • Kamstra, Mark J, Lisa A Kramer, and Maurice D Levi. 2000. “Losing Sleep at the Market: The Daylight Saving Anomaly.” American Economic Review 90: 1005–1011. https://doi.org/10.1257/aer.90.4.1005.
  • Kamstra, M. J., L. A. Kramer, and M. D. Levi. 2002. “Losing Sleep at the Market: The Daylight Saving Anomaly: Reply.” American Economic Review 92 (4): 1257–1263. https://doi.org/10.1257/00028280260344795.
  • Kaplanski, Guy, and Haim Levy. 2010. “Sentiment and Stock Prices: The Case of Aviation Disasters.” Journal of Financial Economics 95: 174–201. https://doi.org/10.1016/j.jfineco.2009.10.002.
  • Kreif, Noémi, Richard Grieve, Dominik Hangartner, Alex James Turner, Silviya Nikolova, and Matt Sutton. 2015. “Examination of the Synthetic Control Method for Evaluating Health Policies with Multiple Treated Units.” Health Economics 25: 1514–1528.
  • Kreutzmann, J. C., R. Havekes, T. Abel, and P. Meerlo. 2015. “Sleep Deprivation and Hippocampal Vulnerability: Changes in Neuronal Plasticity, Neurogenesis and Cognitive Function.” Neuroscience 309: 173–190. https://doi.org/10.1016/j.neuroscience.2015.04.053.
  • Kross, W., and D. A. Schroeder. 1984. “An Empirical Investigation of the Effect of Quarterly Earnings Announcement Timing on Stock Returns.” Journal of Accounting Research 22 (1): 153–176. https://doi.org/10.2307/2490706.
  • Lahti, Tuuli A., Sami Leppämäki, Jouko Lönnqvist, and Timo Partonen. 2006. “Transition to Daylight Saving Time Reduces Sleep Duration Plus Sleep Efficiency of the Deprived Sleep.” Neuroscience Letters 406: 174–177. https://doi.org/10.1016/j.neulet.2006.07.024.
  • Lahti, Tuuli A, Sami Leppämäki, Jouko Lönnqvist, and Timo Partonen. 2008. “Transitions Into and out of Daylight Saving Time Compromise Sleep and the Rest-Activity Cycles.” BMC Physiology 8: 3. https://doi.org/10.1186/1472-6793-8-3.
  • Lahti, Tuuli A, Sami Leppämäki, Sanna-Maria Ojanen, Jari Haukka, Annamari Tuulio-Henriksson, Jouko Lönnqvist, and Timo Partonen. 2014. “Transition Into Daylight Saving Time Influences the Fragmentation of the Rest-Activity Cycle.” Journal of Circadian Rhythms 4: 1. https://doi.org/10.1186/1740-3391-4-1.
  • Lahti, Tuuli, Esa Nysten, Jari Haukka, Pekka Sulander, and Timo Partonen. 2010. “Daylight Saving Time Transitions and Road Traffic Accidents.” Journal of Environmental and Public Health 2010: 1–3. https://doi.org/10.1155/2010/657167.
  • Lamb, Reinhold P., Richard A. Zuber, and John M. Gandar. 2004. “Don't Lose Sleep on It: A Re-Examination of the Daylight Savings Time Anomaly.” Applied Financial Economics 14: 443–446. https://doi.org/10.1080/09603100410001673676.
  • Livnat, J., and R. R. Mendenhall. 2006. “Comparing the Post–Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts.” Journal of Accounting Research 44 (1): 177–205. https://doi.org/10.1111/j.1475-679X.2006.00196.x.
  • Mugerman, Y., N. Steinberg, and Z. Wiener. 2022. “The Exclamation Mark of Cain: Risk Salience and Mutual Fund Flows.” Journal of Banking & Finance 134: 106332. https://doi.org/10.1016/j.jbankfin.2021.106332.
  • Mugerman, Yevgeny, Orr Yidov, and Zvi Wiener. 2020. “By the Light of Day: The Effect of the Switch to Winter Time on Stock Markets.” Journal of International Financial Markets, Institutions and Money 65: 101197. https://doi.org/10.1016/j.intfin.2020.101197.
  • Pantzalis, Christos, and Erdem Ucar. 2014. “Religious Holidays, Investor Distraction, and Earnings Announcement Effects.” Journal of Banking & Finance 47: 102–117. https://doi.org/10.1016/j.jbankfin.2014.05.020.
  • Pinegar, J. Michael. 2002. “Losing Sleep at the Market: Comment.” American Economic Review 92: 1251–1256. https://doi.org/10.1257/00028280260344786.
  • Robb, David, and Thomas Barnes. 2018. “Accident Rates and the Impact of Daylight Saving Time Transitions.” Accident Analysis & Prevention 111: 193–201. https://doi.org/10.1016/j.aap.2017.11.029.
  • Roesel, Felix. 2017. “Do Mergers of Large Local Governments Reduce Expenditures? – Evidence from Germany Using the Synthetic Control Method.” European Journal of Political Economy 50: 22–36. https://doi.org/10.1016/j.ejpoleco.2017.10.002.
  • Rosu, Ioanid, Elvira Sojli, and Wing Wah Tham. 2020. “Quoting Activity and the Cost of Capital.” Journal of Financial and Quantitative Analysis, 1–36.
  • Schroeder, D. 1995. “Evidence on Negative Earnings Response Coefficients.” Journal of Business Finance & Accounting 22 (7): 939–960. https://doi.org/10.1111/j.1468-5957.1995.tb00887.x.
  • Sexton, Alison L., and Timothy K.M. Beatty. 2014. “Behavioral Responses to Daylight Savings Time.” Journal of Economic Behavior & Organization 107: 290–307. https://doi.org/10.1016/j.jebo.2014.03.012.
  • Shambroom, J., and S. E. Fabregas. 2010. “Age Related Changes in Objectively Measured Sleep Observed in a Large Population in the Home.” Sleep 33: A348.
  • Siganos, Antonios. 2019. “The Daylight Saving Time Anomaly in Relation to Firms Targeted for Mergers.” Journal of Banking & Finance 105: 36–43. https://doi.org/10.1016/j.jbankfin.2019.05.014.
  • Smith, Austin C. 2016. “Spring Forward at Your Own Risk: Daylight Saving Time and Fatal Vehicle Crashes.” American Economic Journal: Applied Economics 8: 65–91. https://doi.org/10.1257/app.20140100.
  • Stojanoski, Bobby, Antoine Benoit, Nicholas Van Den Berg, Laura B Ray, Adrian M Owen, Ali Shahidi Zandi, Azhar Quddus, Felix J Comeau, and Stuart M Fogel. 2019. “Sustained Vigilance is Negatively Affected by Mild and Acute Sleep Loss Reflected by Reduced Capacity for Decision Making, Motor Preparation and Execution.” Sleep 42: 1–9.
  • White, H. 1980. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica 48 (4): 817–838. https://doi.org/10.2307/1912934.
  • Whitney, Paul, John M. Hinson, and Amy T. Nusbaum. 2019. “Progress in Brain Research.” Sleep Deprivation and Cognition, 111–126. https://doi.org/10.1016/bs.pbr.2019.03.015.
  • Williamson, A. M., and A.-M. Feyer. 2000. “Moderate Sleep Deprivation Produces Impairments in Cognitive and Motor Performance Equivalent to Legally Prescribed Levels of Alcohol Intoxication.” Occupational and Environmental Medicine 57 (10): 649–655. https://doi.org/10.1136/oem.57.10.649.
  • Worthington, Andrew C. 2003. “Losing Sleep at the Market: An Empirical Note on the Daylight Saving Anomaly in Australia.” Economic Papers: A Journal of Applied Economics and Policy 22: 83–93. https://doi.org/10.1111/j.1759-3441.2003.tb01136.x.