Advertising, Attention, and Financial Markets

77 Pages Posted: 2 Jan 2015 Last revised: 25 Jan 2016

Florens Focke

University of Mannheim - Department of International Finance

Stefan Ruenzi

University of Mannheim - Department of International Finance

Michael Ungeheuer

Aalto University School of Business

Date Written: January 15, 2016

Abstract

We investigate the impact of product market advertising on investor attention and financial markets. Using daily advertising data we can identify short-term effects of advertising. We develop a new proxy for investor attention based on a company's Wikipedia page views and show that advertising has a positive impact on investor attention, but only very little impact on turnover and liquidity. Most importantly, asset prices are not influenced by advertising in the short run. These findings are different from studies using yearly advertising expenditures and suggest that attempts to temporarily inflate stock returns via short-term adjustments to advertising are ineffective.

Keywords: Advertising, Investor Attention, Wikipedia, Turnover, Liquidity, Returns

JEL Classification: G10, G12, G14, M37

Suggested Citation

Focke, Florens and Ruenzi, Stefan and Ungeheuer, Michael, Advertising, Attention, and Financial Markets (January 15, 2016). 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 School of Business ( email )

P.O.Box 21220
Helsinki, 00076
Finland

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

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