Investors' limited attention affects stock returns, particularly for Friday earnings announcements. Friday announcements show a 15% lower immediate response and a 70% higher delayed response compared to non-Friday announcements. A portfolio exploiting this differential drift earns abnormal returns. Trading volume is 8% lower around Friday announcements, supporting the idea that limited attention leads to underreaction to information, increasing post-earnings announcement drift. Investors have limited time and cognitive resources, and distractions may reduce decision-making quality. The paper examines the response to earnings surprises, finding that Friday announcements, occurring before the weekend, lead to less immediate reaction but more delayed response as investors revisit decisions. This supports behavioral explanations of post-earnings announcement drift, such as underreaction due to cognitive limits. The paper models investor behavior, showing that distracted investors reduce immediate price reactions and increase delayed responses. Companies releasing bad news on high-distraction days (like Fridays) may maximize short-term value. Data from 1995 to 2006 shows that Friday announcements have a higher delayed response, with 60% of the total response occurring later, compared to 40% for non-Friday announcements. This suggests a significant share of distracted investors on Fridays. The study finds that Friday announcements have lower abnormal trading volume and that managers releasing bad news on Fridays may be more likely to underreact initially. The results are consistent with weekend distractions affecting investor responses, leading to delayed reactions. The findings support the theory that momentum effects and post-earnings announcement drift result from underreaction due to cognitive constraints. The paper also shows that Friday announcements have a larger delayed response ratio, indicating more delayed incorporation of information into stock prices. This is consistent with the idea that investors are more distracted on Fridays, leading to underreaction initially and later correction. The results are robust to different specifications and samples, showing that Friday announcements have a significantly lower immediate response and higher delayed response compared to non-Friday announcements. A portfolio strategy that buys Friday drift and sells non-Friday drift earns abnormal returns of about 4 percentage points per month. These findings highlight the impact of investor inattention on stock returns and support the theory that limited attention leads to underreaction and delayed incorporation of information into stock prices.Investors' limited attention affects stock returns, particularly for Friday earnings announcements. Friday announcements show a 15% lower immediate response and a 70% higher delayed response compared to non-Friday announcements. A portfolio exploiting this differential drift earns abnormal returns. Trading volume is 8% lower around Friday announcements, supporting the idea that limited attention leads to underreaction to information, increasing post-earnings announcement drift. Investors have limited time and cognitive resources, and distractions may reduce decision-making quality. The paper examines the response to earnings surprises, finding that Friday announcements, occurring before the weekend, lead to less immediate reaction but more delayed response as investors revisit decisions. This supports behavioral explanations of post-earnings announcement drift, such as underreaction due to cognitive limits. The paper models investor behavior, showing that distracted investors reduce immediate price reactions and increase delayed responses. Companies releasing bad news on high-distraction days (like Fridays) may maximize short-term value. Data from 1995 to 2006 shows that Friday announcements have a higher delayed response, with 60% of the total response occurring later, compared to 40% for non-Friday announcements. This suggests a significant share of distracted investors on Fridays. The study finds that Friday announcements have lower abnormal trading volume and that managers releasing bad news on Fridays may be more likely to underreact initially. The results are consistent with weekend distractions affecting investor responses, leading to delayed reactions. The findings support the theory that momentum effects and post-earnings announcement drift result from underreaction due to cognitive constraints. The paper also shows that Friday announcements have a larger delayed response ratio, indicating more delayed incorporation of information into stock prices. This is consistent with the idea that investors are more distracted on Fridays, leading to underreaction initially and later correction. The results are robust to different specifications and samples, showing that Friday announcements have a significantly lower immediate response and higher delayed response compared to non-Friday announcements. A portfolio strategy that buys Friday drift and sells non-Friday drift earns abnormal returns of about 4 percentage points per month. These findings highlight the impact of investor inattention on stock returns and support the theory that limited attention leads to underreaction and delayed incorporation of information into stock prices.