This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms’ characteristics. The model shows that heightened economic uncertainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earnings announcements. Moreover, heightened investor attention caused by high economic uncertainty leads to a steeper CAPM relation and higher betas for announcing firms. Empirical analyses using firm-level attention measures and CAPM tests on high- versus low-attention days support the model’s predictions.

本文开发了一个基于企业特征差异的多企业信息获取均衡模型。该模型表明，经济不确定性的增加会通过增加投资者的注意力来放大股价对收益公告的反应，这因公司特征而异。具有较高系统风险或更多信息公告的公司会吸引更多注意力，并对收益公告表现出更强烈的反应。此外，高经济不确定性引起的投资者关注度提高导致 CAPM 关系更陡峭，以及宣布公司的贝塔系数更高。使用公司层面的注意力测量和 CAPM 测试对高注意力和低注意力的日子进行的实证分析支持模型的预测。