Advertising, Attention, and Financial Markets
136 Pages Posted: 2 Jan 2015 Last revised: 4 Sep 2019
Date Written: December 23, 2018
Using daily advertising data, we analyze short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that advertising has a positive impact on attention. However, it has only little impact on turnover and liquidity. Most importantly, short-term stock returns are not significantly influenced by advertising. Further results suggest that previous findings of an economically significant positive relation between advertising and returns are due to reverse causality. Thus, the belief that stock prices can be temporarily inflated via advertising is misguided.
Keywords: Advertising, Investor Attention, Wikipedia, Turnover, Liquidity, Returns
JEL Classification: G10, G12, G14, M37
Suggested Citation: Suggested Citation