Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies
40 Pages Posted: 16 Mar 2013 Last revised: 2 Nov 2014
Date Written: March 15, 2013
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: Suggested Citation