Adaptive Makets and Attention-Driven Anomalies in Times of Crisis: A COVID-19 Perspective

Sammanfattning

This study examines the impact of day-of-the-week effects, specifically Fridays, on post-earnings announcement drift (PEAD) in the U.S. stock market from 2016 to 2023, with a specific focus on the COVID-19 pandemic period. Our findings reveal significant challenges in isolating the effects of investor inattention from firm-specific characteristics and the strategic timing of earnings announcements. While previous literature, such as DellaVigna and Pollet (2009), attribute anomalies like reduced Friday reactions to investor inattention, our results suggest that these patterns may instead arise from unobserved biases and external market factors. During the COVID-19 pandemic, shifts in market dynamics were observed, however, the evidence remains inconclusive regarding the persistence of traditional anomalies. Our analysis underscores the methodological challenges posed by non-random announcement distributions and selection biases, complicating the attribution of observed trends to specific behavioral or market inefficiencies. These limitations constrain the ability to draw definitive conclusions for market participants, highlighting the need for future research to explore broader datasets, alternative market contexts, and randomized announcement tests to address these issues. As financial markets are expected to face increasing volatility due to the growing likelihood of pandemics and similar systemic disruptions, understanding these dynamics is crucial for researchers, investors, and corporate managers.