The Comovement of Investor Attention

52 Pages Posted: 6 Oct 2012 Last revised: 16 Dec 2015

See all articles by Michael S. Drake

Michael S. Drake

Brigham Young University - Marriott School

Darren T. Roulstone

Ohio State University (OSU) - Fisher College of Business

Jared N. Jennings

Washington University in St. Louis

Jacob R. Thornock

Brigham Young University

Date Written: December 1, 2015

Abstract

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.

Keywords: Investor attention, comovement, returns, EDGAR, Google

Suggested Citation

Drake, Michael S. and Roulstone, Darren T. and Jennings, Jared N. and Thornock, Jacob, The Comovement of Investor Attention (December 1, 2015). Available at SSRN: https://ssrn.com/abstract=2157727 or http://dx.doi.org/10.2139/ssrn.2157727

Michael S. Drake

Brigham Young University - Marriott School ( email )

United States

Darren T. Roulstone

Ohio State University (OSU) - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States

Jared N. Jennings

Washington University in St. Louis ( email )

One Brookings Drive
Campus Box 1208
Saint Louis, MO MO 63130-4899
United States

Jacob Thornock (Contact Author)

Brigham Young University ( email )

Provo, UT 84602
United States
8014220828 (Phone)

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