We investigate rational inattention as an explanation for the documented reduction in the processing of firm-specific information by investors on busy earnings announcement (EA) days. We show that on days with many contemporaneous EAs, firm-specific uncertainty increases while aggregate uncertainty declines. We interpret these results as consistent with investors’ attention being drawn away from idiosyncratic toward aggregate information during these days. We also show a significant increase in the trading of securities with higher exposure to aggregate risk, as well as an increase in Google searches of macroeconomic terms on busy EA days. Jointly, these results suggest that investors take actions that are consistent with a shift in attention from idiosyncratic to aggregate information on busy EA days. Lastly, we show that macroeconomic forecasters are more likely to update their forecasts and that forecast dispersion declines on busy EA weeks, which supports our assumption that busy EA days provide information about the economy at large. Overall, our results support rational inattention as an explanation for the lower transmission of firm-specific information on busy earnings announcement days documented in the literature.


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