LAUSR

Prior authors note that investor distraction during Fridays and holidays leads to muted responses to earnings surprises. We develop daily investor distraction measures using abnormal US air traffic to proxy for investor distraction. These measures provide additional predictive information after controlling for well‐known distraction measures. Our findings also indicate that abnormal air taxi traffic is most closely associated with investor distraction. Our investor distraction measures are negatively associated with CARs and abnormal volume around quarterly earnings. Firms that release earnings on dates with abnormally high air traffic exhibit greater post‐earnings announcement drift (PEAD) than firms that release earnings on low‐traffic days. More importantly, they indicate that investor distraction significantly affects investor responses on days previously noted by researchers.