||The Five-Day Workweek System and Investor Inattention on Friday Earnings Announcements: Evidence from Korea's Stock Market
KIM, Tae WookWIE, Dainn
15-142015-09 , GRIPS Policy Research Center
Do investors always allocate their attention properly? If not, what potentially drives investors inattention? This paper shows that work schedule can have an influence on the level of attention investors pay. Using the introduction of the five-day workweek system in financial sector of Korea in 2002 as a natural experiment, the paper suggests work schedule can be a key factor driving investor inattention to Friday earnings announcements. Our stock return analyses show stronger immediate response and weaker delayed response to Friday news under the six-day workweek system. The trend was, however, reversed under the five-day workweek system, showing more sluggish immediate response and stronger delayed response to Friday earnings announcements. These findings state that the trade-off between weekend distraction and additional working hours during weekend determines investors attention to Friday earnings announcements.