Advertising, Attention, and Financial Markets

109 Pages Posted: 2 Jan 2015 Last revised: 16 Jan 2018

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 2018

Abstract

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

Focke, Florens and Ruenzi, Stefan and Ungeheuer, Michael, Advertising, Attention, and Financial Markets (January 2018). 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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