Stale Information in the Spotlight: The Effects of Attention Shocks on Equity Markets

73 Pages Posted: 9 Sep 2020

See all articles by Siyu Chen

Siyu Chen

National University of Singapore

Runjing Lu

University of Alberta - Department of Finance

Date Written: August 21, 2020

Abstract

Using a novel natural experiment, we provide causal evidence on how asset prices are affected when the media draws investor attention to stale information. We find that shortly after the announcement of a high-profile financial analyst award, stocks with preexisting recommendations from analysts who receive heightened media exposure from winning the award experience higher abnormal returns than those recommended by analysts who barely lose the award. Attention trading rather than ability signaling drives the differences in the returns. Furthermore, the award changes brokerages’ resource allocation and analysts’ information production, thereby having long-lasting effects on equity markets.

Keywords: Media attention, Stale information, Financial analyst

JEL Classification: G14, G12, G41

Suggested Citation

Chen, Siyu and Lu, Runjing, Stale Information in the Spotlight: The Effects of Attention Shocks on Equity Markets (August 21, 2020). Available at SSRN: https://ssrn.com/abstract=3678805 or http://dx.doi.org/10.2139/ssrn.3678805

Siyu Chen

National University of Singapore ( email )

Singapore
Singapore

HOME PAGE: http://https://www.siyuchen.website/

Runjing Lu (Contact Author)

University of Alberta - Department of Finance ( email )

Edmonton, Alberta T6G 2R3
Canada

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