Sustained investor attention

Abstract

Prior research on investor attention focuses primarily on whether investors access disclosures rather than how long they engage with them. We examine this latter dimension—sustained investor attention—using proprietary data from Quartr that allow us to measure how long investors listen to earnings conference calls. Building on rational inattention, we predict and find that listening duration depends on the match between disclosure complexity and investor expertise: sophisticated investors sustain attention as complexity increases, while less sophisticated investors disengage. We further document that listening duration reflects a benefits-costs tradeoff more generally, increasing with call characteristics that make continued listening more valuable and decreasing with those that make continued listening more costly. Turning to market consequences, we find that sustained investor attention is positively associated with higher abnormal trading volume, larger absolute returns, and faster price discovery around earnings announcements, even after controlling for initial attention capture. Results are similar when sustained investor attention is measured using only listening that occurs either while the call is live or prior to the next regular trading session. Together, our findings suggest that retaining investor attention, rather than merely capturing it, is economically meaningful for price discovery.

Keywords: sustained investor attention, investor engagement, rational inattention, earnings conference calls, market efficiency