Market-Wide Attention, Trading, and Stock Returns
Shanghai Advanced Institute of Finance; University of Pennsylvania - Wharton Financial Institutions Center
February 24, 2015
Journal of Financial Economics (JFE), Volume 116, Issue 3, June 2015, Pages 548–564.
Market-wide attention-grabbing events -- record levels for the Dow and front-page articles about the stock market -- predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events.
Number of Pages in PDF File: 44
Keywords: Attention, Individual investor, Trading
JEL Classification: G14
Date posted: March 17, 2008 ; Last revised: May 20, 2015
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.328 seconds