Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals

Carretta, Alessandro; Farina, Vincenzo; Graziano, Elvira Anna; Reale, Marco

doi:10.2139/ssrn.1930861

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Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals

18 Pages Posted: 21 Sep 2011

See all articles by Alessandro Carretta

Alessandro Carretta

University of Rome Tor Vergata - Faculty of Economics

Marco Reale

University of Canterbury

Date Written: June 30, 2011

Abstract

This paper investigates empirically the nature of the interactions between mass media, investor attention and the stock market using data from a sample of 16 spin-off deals traded on NYSE and published between 2004 and 2010 in 'Wall Street Journal', the US’s second-largest newspaper by circulation.

The results show that: the impact of media sentiment on the stock market reactions is enhanced/moderated by the level of attention of investors; individual investors’ attention is grabbed by stocks experiencing high trading volumes on the previous day; high attention could result in downward pressure on stock market returns.

Keywords: media sentiment, investor attention, internet search, spin-off

JEL Classification: G10, G34

Suggested Citation: Suggested Citation

Carretta, Alessandro and Farina, Vincenzo and Graziano, Elvira Anna and Reale, Marco, Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals (June 30, 2011). Available at SSRN: https://ssrn.com/abstract=1930861 or http://dx.doi.org/10.2139/ssrn.1930861