We study how the arrival of macro-news affects the stock market's ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention, causing less efficient processing of firm-level earnings announcements. We find the opposite: the sensitivity of announcement returns to earnings news is 17% stronger, and post-earnings announcement drift 71% weaker, on macro-news days. This suggests a complementary relationship between macro and micro news that is consistent with either investor attention or information transmission channels.

我们研究宏观新闻的到来如何影响股市将信息纳入公司级收益公告的能力。现有理论表明，宏观和公司层面的盈利新闻是注意力替代品；宏观新闻公告排挤了公司层面的注意力，导致公司层面收益公告的处理效率较低。我们发现恰恰相反：在宏观新闻日，公告回报对盈利消息的敏感度要高 17%，而盈利后的公告漂移要弱 71%。这表明宏观和微观新闻之间存在互补关系，这与投资者关注或信息传递渠道一致。