Stock Returns and the Cross-Section of Investor Attention

81 Pages Posted: 14 Mar 2017 Last revised: 2 Aug 2019

See all articles by Michael Ungeheuer

Michael Ungeheuer

Aalto University School of Business

Date Written: September 22, 2017

Abstract

I analyze the effect of stock returns on investor attention and document a new stylized fact: Stocks ranked as daily winners and losers experience large spikes in investor attention, while non-ranked stocks with extreme returns do not experience any change in attention. Using hourly Wikipedia firm page views to measure investor attention, I show that this relation is not explained by reverse causality, contemporaneous or extreme news, or reporting of news specifically for ranked stocks. The effect of daily stock returns on investor attention seems to be driven by winner and loser rankings themselves. Attention directed to the small set of ranked stocks is followed by economically significant information dissemination and trading.

Keywords: Investor Attention, Daily Winners and Losers, Rankings

JEL Classification: G02, G11, G12, G14, D03, D14, D83

Suggested Citation

Ungeheuer, Michael, Stock Returns and the Cross-Section of Investor Attention (September 22, 2017). Available at SSRN: https://ssrn.com/abstract=2931547 or http://dx.doi.org/10.2139/ssrn.2931547

Michael Ungeheuer (Contact Author)

Aalto University School of Business ( email )

P.O.Box 21210
Aalto, 00076
Finland

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

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