The Geography of Investor Attention

Center for Financial Studies Working Paper No. 671, 2021

50 Pages Posted:

See all articles by Stefano Mengoli

Stefano Mengoli

University of Bologna - Department of Management

Marco Pagano

University of Naples Federico II - Department of Economics and Statistics; Centre for Studies in Economics and Finance (CSEF); Einaudi Institute for Economics and Finance (EIEF); Research Institute of Industrial Economics (IFN); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Pierpaolo Pattitoni

University of Bologna - Department of Statistical Sciences ; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: November 21, 2021

Abstract

Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less attention by locals, and more by nonlocals close to the acquirer; second, COVID-19 travel restrictions correlate with a drop in relative attention to nonlocal companies, especially in locations with fewer fights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not viceversa. These findings are consistent with local investors having an information-processing advantage.

Keywords: attention, retail investors, local investors, distance, news, liquidity, volatility

JEL Classification: D83, G11, G12, G14, G50, L86, R32

Suggested Citation

Mengoli, Stefano and Pagano, Marco and Pattitoni, Pierpaolo, The Geography of Investor Attention (November 21, 2021). Center for Financial Studies Working Paper No. 671, 2021, Available at SSRN: https://ssrn.com/abstract=

Stefano Mengoli

University of Bologna - Department of Management ( email )

Via Capo di Lucca, 24
http://stefanomengoli.weebly.com/
Bologna, Bologna 40132
Italy

Marco Pagano (Contact Author)

University of Naples Federico II - Department of Economics and Statistics ( email )

Via Cintia - Monte S. Angelo
Napoli, 80126
Italy
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+39 081 7663540 (Fax)

Centre for Studies in Economics and Finance (CSEF) ( email )

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Einaudi Institute for Economics and Finance (EIEF)

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Research Institute of Industrial Economics (IFN)

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Sweden

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Corporate Governance Institute (ECGI)

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Belgium

HOME PAGE: http:/www.ecgi.org

Pierpaolo Pattitoni

University of Bologna - Department of Statistical Sciences ( email )

Via Belle Arti 41
Bologna, 40126
Italy

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

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