Is Investor Attention for Sale? The Role of Advertising in Financial Markets

46 Pages Posted: 8 Oct 2014 Last revised: 27 Sep 2016

Joshua M. Madsen

University of Minnesota - Twin Cities - Carlson School of Management

Marina Niessner

Yale School of Management

Date Written: March 1, 2016

Abstract

Using daily advertising data we document that print ads, especially in weekend business publications, cause an increase in Google searches for company tickers, suggesting that ads draw investor attention to firms’ financial information. We further find that ads by companies with significant retail-investor ownership trigger increased share turnover on the day of the ad but do not have an effect on the firms’ stock price. Our results contrast with findings in prior papers which use lower frequency advertising data. Daily data allow us to control for reverse causality and several potentially omitted variables, suggesting that endogeneity may be responsible for some of the results in prior literature on advertising and financial markets.

Keywords: Advertising, Investor Attention, Financial Markets, Earnings Announcements

JEL Classification: G12, G14

Suggested Citation

Madsen, Joshua M. and Niessner, Marina, Is Investor Attention for Sale? The Role of Advertising in Financial Markets (March 1, 2016). Available at SSRN: https://ssrn.com/abstract=2506872 or http://dx.doi.org/10.2139/ssrn.2506872

Joshua M. Madsen

University of Minnesota - Twin Cities - Carlson School of Management ( email )

19th Avenue South
Minneapolis, MN 55455
United States

Marina Niessner (Contact Author)

Yale School of Management ( email )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

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