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Market-Wide Attention, Trading, and Stock Returns

Yu Yuan

Shanghai Advanced Institute of Finance; University of Pennsylvania - Wharton Financial Institutions Center

February 24, 2015

Journal of Financial Economics (JFE), Forthcoming

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

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Date posted: March 17, 2008 ; Last revised: February 25, 2015

Suggested Citation

Yuan, Yu, Market-Wide Attention, Trading, and Stock Returns (February 24, 2015). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=1105532 or http://dx.doi.org/10.2139/ssrn.1105532

Contact Information

Yu Yuan (Contact Author)
Shanghai Advanced Institute of Finance ( email )
HOME PAGE: http://https://finance.wharton.upenn.edu/~yuanyu
University of Pennsylvania - Wharton Financial Institutions Center ( email )
3733 Spruce Street
Philadelphia, PA 19104-6374
United States
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