Download This PaperAttention Triggers and Investors' Risk-Taking
Journal of Financial Economics, DOI: 10.1016/j.jfineco.2021.05.031
69 Pages Posted: 20 Jul 2020 Last revised: 27 May 2021
Date Written: February 17, 2021
Abstract
This paper investigates how individual attention triggers influence financial risk-taking based on a large sample of trading records from a brokerage service that sends standardized push messages on stocks to retail investors. By exploiting the data in a difference-in-differences (DID) setting, we find that attention triggers increase investors' risk-taking. Our DID coefficient implies that attention trades carry, on average, a 19-percentage point higher leverage than non-attention trades. We provide a battery of cross-sectional analyses to identify the groups of investors and stocks for which this effect is stronger.
Keywords: Investor Attention, Trading Behavior, Risk-Taking
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation
Marc Arnold
University of St. Gallen - School of Finance ( email )
Unterer Graben 21
St.Gallen, CH-9000
Switzerland
Swiss Finance Institute ( email )
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
Marti G. Subrahmanyam
New York University (NYU) - Leonard N. Stern School of Business ( email )
44 West 4th Street
Suite 9-160
New York, NY NY 10012
United States