Advertising, Attention, and Financial Markets
109 Pages Posted: 2 Jan 2015 Last revised: 16 Jan 2018
Date Written: January 2018
Using daily advertising data, we analyze short-term effects of advertising on investor attention and on financial market outcomes. We develop a new proxy for investor attention based on companies' Wikipedia page views and show that advertising has a positive impact on investor attention, but 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