Advertising, Attention, and Financial Markets
136 Pages Posted: 2 Jan 2015 Last revised: 10 Jan 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 proxies for investor attention, we show that advertising has a positive impact on investor attention. However, it has only little impact on turnover and liquidity. Most importantly, short-term stock returns are not influenced by advertising. Further results suggest that previous findings of a 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