Institutional Investor Attention

106 Pages Posted: 15 Apr 2022 Last revised: 10 Feb 2023

See all articles by Alan Kwan

Alan Kwan

The University of Hong Kong

Yukun Liu

University of Rochester - Simon Business School

Ben Matthies

University of Notre Dame

Date Written: April 24, 2022


Using a dataset of internet news reading, we measure fund-level attention to both
aggregate and firm-specific news and relate it to fund portfolio allocation decisions.
In the time-series, we find that funds shift attention toward macroeconomic news
during periods of high aggregate volatility. Those funds which exhibit stronger
attention reallocation patterns deliver higher returns. In the cross-section of fund
portfolios, fund attention is positively related to stock holdings. Furthermore, fund
attention to a stock increases the value-add of that position to the fund’s performance.
This relationship is stronger using fund attention to more value-relevant
news articles.

Keywords: Investor Attention, Portfolio Allocation

JEL Classification: G10, G20, G40

Suggested Citation

Kwan, Alan and Liu, Yukun and Matthies, Ben, Institutional Investor Attention (April 24, 2022). Available at SSRN: or

Alan Kwan

The University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Pokfulam HK

Yukun Liu

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

Ben Matthies (Contact Author)

University of Notre Dame ( email )

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