Institutional Investor Attention

59 Pages Posted: 15 Apr 2022 Last revised: 25 Apr 2022

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


We study institutional investor attention using daily internet news reading. We measure fund-level attention to both aggregate and firm-specific information and relate it to portfolio allocation decisions. During economic downturns, funds shift their attention from firm-specific news toward aggregate news, and the cross-sectional dispersion of attention to firm-specific news increases. Fund attention is significantly and positively related to portfolio holdings, and this relationship is stronger for more sophisticated funds and those with limited attention capacity. Attention to news exhibits clear habitats with most variation driven by fund and firm effects. Lastly, attention by sophisticated investors predicts future stock returns.

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 )

South Bend, IN
United States

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