Advertising, Attention, and Financial Markets
Review of Financial Studies, Forthcoming
137 Pages Posted: 2 Jan 2015 Last revised: 31 Mar 2022
Date Written: August 19, 2019
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: Suggested Citation