The paper examines whether limited investor attention affects stock returns, focusing on the response to earnings announcements on Fridays, when inattention is more likely. The authors compare the immediate and delayed responses to Friday and non-Friday announcements. They find that Friday announcements have a 15% lower immediate response and a 70% higher delayed response compared to non-Friday announcements. This suggests that investors underreact to information on Fridays due to limited attention, leading to a stronger post-earnings announcement drift. The study also finds that trading volume is 8% lower around Friday announcements, supporting the idea that weekend distractions alter investor responses to earnings information. The findings provide evidence for explanations of post-earnings announcement drift based on underreaction to information caused by cognitive limits.The paper examines whether limited investor attention affects stock returns, focusing on the response to earnings announcements on Fridays, when inattention is more likely. The authors compare the immediate and delayed responses to Friday and non-Friday announcements. They find that Friday announcements have a 15% lower immediate response and a 70% higher delayed response compared to non-Friday announcements. This suggests that investors underreact to information on Fridays due to limited attention, leading to a stronger post-earnings announcement drift. The study also finds that trading volume is 8% lower around Friday announcements, supporting the idea that weekend distractions alter investor responses to earnings information. The findings provide evidence for explanations of post-earnings announcement drift based on underreaction to information caused by cognitive limits.