Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies

40 Pages Posted: 16 Mar 2013 Last revised: 2 Nov 2014

See all articles by Wesley R. Gray

Wesley R. Gray

Alpha Architect; Drexel University - LeBow College of Business

Steve Crawford

University of Houston

Shastri Sandy

The Brattle Group

Date Written: March 15, 2013

Abstract

The limited attention hypothesis suggests that investors’ limited cognitive resources affect securities markets. We explore predictions from the limited attention hypothesis in the context of firms participating in NYSE’s Opening and Closing Bell ceremonies. In contrast to prior research, our unique experimental design allows us to more easily differentiate information shocks from attention shocks. We have two new findings: 1) Institutional investors are affected by limited attention and 2) limited attention has little influences on asset prices.

Keywords: limited attention, Opening and Closing Bell, NYSE, behavioral finance, market efficiency

JEL Classification: G10, G12, G14

Suggested Citation

Gray, Wesley R. and Crawford, Steve and Sandy, Shastri, Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies (March 15, 2013). Available at SSRN: https://ssrn.com/abstract=2233923 or http://dx.doi.org/10.2139/ssrn.2233923

Wesley R. Gray (Contact Author)

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States
7732304727 (Phone)

HOME PAGE: http://www.alphaarchitect.com

Drexel University - LeBow College of Business ( email )

3141 Chestnut St
Philadelphia, PA 19104
United States

HOME PAGE: http://www.lebow.drexel.edu/corporate-services/corporate-and-executive-education/executive-faculty

Steve Crawford

University of Houston ( email )

Houston, TX 77204
United States

Shastri Sandy

The Brattle Group ( email )

44 Brattle St
Cambridge, MA MA 02138
United States
312-315-8395 (Phone)

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