Investor Attention to Financial Information

50 Pages Posted: 4 Mar 2020 Last revised: 8 Feb 2021

Date Written: February 7, 2021


Based on Internet search behavior, I create a novel measure of individual investor attention to firm-specific financial information. To do this, I use search terms that combine a word that indicates the firm’s identity with a word that indicates the type of information the investor intends to pay attention to. When individual investor attention to financial information is high, I find that responses to earnings announcements are stronger, a finding that does not hold for search volume. Congruently, I find that the post-earnings announcement drift and the underreaction to earnings are weaker. However, I find a stronger overreaction to accruals, which is a less persistent component of earnings. The last result is unique to the active attention of individual investors and does not hold for sophisticated investors or for passive media-driven attention. These findings indicate that individual investors’ limitations in processing nuanced financial information are not fully offset by paying attention.

Keywords: investor attention, retail investors, capital market efficiency, information processing costs, Internet search traffic

JEL Classification: D83, G14, M41

Suggested Citation

Song, Shiwon, Investor Attention to Financial Information (February 7, 2021). INSEAD Working Paper No. 2020/15/ACC, Available at SSRN: or

Shiwon Song (Contact Author)

INSEAD ( email )

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77305 Fontainebleau Cedex

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