Advertising, Attention, and Financial Markets

Review of Financial Studies, Forthcoming

137 Pages Posted: 2 Jan 2015 Last revised: 9 Dec 2019

See all articles by Florens Focke

Florens Focke

University of Mannheim - Department of International Finance

Stefan Ruenzi

University of Mannheim - Department of International Finance

Michael Ungeheuer

Aalto University

Date Written: August 19, 2019

Abstract

Using daily advertising data, we analyze the short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that advertising positively affects 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, G40

Suggested Citation

Focke, Florens and Ruenzi, Stefan and Ungeheuer, Michael, Advertising, Attention, and Financial Markets (August 19, 2019). Review of Financial Studies, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2544294 or http://dx.doi.org/10.2139/ssrn.2544294

Florens Focke

University of Mannheim - Department of International Finance ( email )

L9, 1-2
Mannheim, 68131
Germany

Stefan Ruenzi

University of Mannheim - Department of International Finance ( email )

L9, 1-2
Mannheim, 68131
Germany

Michael Ungeheuer (Contact Author)

Aalto University ( email )

P.O.Box 21210
Aalto, 00076
Finland

HOME PAGE: http://sites.google.com/site/ungeheuermichael/

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