The Geography of Investor Attention PDF Download
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Author: Stefano Mengoli
Publisher:
ISBN:
Category : Information theory in economics
Languages : en
Pages : 46
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Book Description
Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less attention by locals, and more by nonlocals close to the acquirer; second, COVID-19 travel restrictions correlate with a drop in relative attention to nonlocal companies, especially in locations with fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not vice versa. These findings are consistent with local investors having an information-processing advantage.
Author: Stefano Mengoli
Publisher:
ISBN:
Category : Information theory in economics
Languages : en
Pages : 46
Get Book Here
Book Description
Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less attention by locals, and more by nonlocals close to the acquirer; second, COVID-19 travel restrictions correlate with a drop in relative attention to nonlocal companies, especially in locations with fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not vice versa. These findings are consistent with local investors having an information-processing advantage.
Author: Joshua Matthew Pollet
Publisher:
ISBN:
Category : Collective behavior
Languages : en
Pages : 167
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Book Description
Author: Xian Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 216
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Book Description
Author: Milica Matovic
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Michael S. Drake
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
Prior literature has documented that investor attention and constraints on that attention are associated with the pricing of stocks. We introduce the concept of attention comovement, which is the extent to which investor attention for a firm is explained by attention paid to the firm's industry and the market in general. We find that attention comovement is non-trivial for the average firm and is related to firm characteristics, such as size and visibility. We also find that the comovement of investor attention has market consequences, in that it is positively associated with excess stock return comovement. Finally, we show that a firm's earnings announcement contributes to the transfer of attention from one firm to its peer firms. Our results provide insights about the information flows underlying return comovement and aid in understanding the micro- and macro-nature of investor attention.
Author: Jessica Yichun Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Yao Chen
Publisher:
ISBN:
Category : Electronic information resource searching
Languages : en
Pages : 256
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Book Description
Author: Hang Dong
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
We examine the proposition that investor attention affects the optimality of financial decisions. Using a novel dataset on the sociodemographic characteristics of visitors to mutual fund websites, we link the characteristics of investors to the characteristics of mutual funds that capture their attention. We report empirical evidence that the characteristics of individuals are systematically associated with fund characteristics that predict performance. Mutual funds with a higher fraction of female, older, and low-income visitors have a higher probability of underperforming. We also find that differences in attention allocation decisions across visitor groups can be explained by differences in their sensitivity to past performance and fund fees. Finally, there is limited evidence that fund marketing can explain why some groups of visitors pay attention to funds that can be predicted to underperform. In sum, we provide evidence that attention may explain, at least partially, the suboptimal financial decisions of some investors.
Author: Gianluca Mattarocci
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Purpose - The paper aims to investigate the relationship between different investor attention proxies for different types of funds (retail vs institutional ones) looking at a sample of real estate funds.Design/Methodology/Approach - The authors collect data about searching frequency on Google and all the news published in Italian specialized newspapers for a set of real estate funds. Following the approach proposed by Da, Engelberg and Gao, the authors construct a set of attention proxies and they compare the ranking with some summary statistics and evaluate the causality relationship among them using a Granger causality test.Findings - Results demonstrate that online search frequency is relevant for both institutional and retail funds and normally internet data are able to anticipate the news that will be published in the newspapers.Research Limitations/Implications - The analysis proposed is focused only on a small real estate market (Italy) where funds are specialized for the type of investor. A wider database can allow excluding that results achieved are biased by the specific features of the market analysed.Practical Implications - The role of internet proxies attention measures also for institutional investors demonstrate that the managing companies offering financial instruments reserved to institutional investors should consider both channels of information - newspapers and the internet - to measure any positive or negative sign of investor attention to their products.Originality/Value - The article represents the first analysis of investor attention proxies on the real estate market and the first comparison of investor attention proxies for retail and institutional investors.
Author: Kewei Hou
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
We examine the role of investor attention in explaining the profitability of price and earnings momentum strategies. Using trading volume and market state to measure cross-sectional and time-series variations of investor attention, we find that price momentum profits are higher among high volume stocks and in up markets, but that earnings momentum profits are higher among low volume stocks and in down markets. In the long run, price momentum profits reverse but earnings momentum profits do not. These results suggest that price underreaction to earnings news weakens with investor attention, but price continuation caused by investors' overreaction strengthens with attention.
