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Market Returns and a Tale of Two Attentions
| Content Provider | Semantic Scholar |
|---|---|
| Author | Hua, Jian Hung, Chih-Ching Peng, Lin |
| Copyright Year | 2020 |
| Abstract | We find that aggregated retail attention to individual stocks (ARA) strongly and negatively predicts future market returns, especially in down markets and during high VIX periods. In contrast, aggregated institutional attention to individual stocks (AIA) weakly but positively predicts future market returns. AIA leads ARA, and AIA’s positive market return predictability is stronger when retail investors are inattentive. In addition, ARAs predictability is mostly driven by attention to large firms and that retail investors’ direct attention to the overall market does not exhibit return predictability. Our results suggest that retail attention reduces the diffusion of negative market news, while institutional attention facilitates information incorporation. Keyords: Return Predictability, Institutional Attention, Retail Attention |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.3551662 |
| Alternate Webpage(s) | https://openconf.s3.amazonaws.com/MFA2020/papers/177.pdf?AWSAccessKeyId=AKIAQY37HFC6IY5GEPRE&Expires=1582093355&Signature=%2B%2B0SXglhr7s4drjY%2BXgEQjPls6g%3D |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.3551662 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |