Abstract

https://ssrn.com/abstract=2544294
 


 



Advertising, Attention, and Financial Markets


Florens Focke


University of Mannheim - Department of International Finance

Stefan Ruenzi


University of Mannheim - Department of International Finance

Michael Ungeheuer


University of Mannheim - Department of International Finance

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.

Number of Pages in PDF File: 77

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

JEL Classification: G10, G12, G14, M37


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Date posted: January 2, 2015 ; Last revised: January 25, 2016

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

Contact Information

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)
University of Mannheim - Department of International Finance ( email )
L9, 1-2
Mannheim, 68131
Germany
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