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Part 4: Inattention and distractions DellaVigna and Pollet (2009) use Friday as a proxy for distractions to study the impact of distractions on the speed
Part 4: Inattention and distractions DellaVigna and Pollet (2009) use Friday as a proxy for distractions to study the impact of distractions on the speed with which returns incorporate the earnings information. Question: Use the quantile methodology, test whether there is less immediate response of stock returns (1) and more drift (2) for announcements on Friday than announcements on other days. Present and explain your results
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