Advertising, Attention, and Financial Markets

• 成果类型: Article
• 署名作者: Focke, Florens; Ruenzi, Stefan; Ungeheuer, Michael
• 署名单位: University of Mannheim; Aalto University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz142
• 发表日期: 2020
• 页码: 4676
• 关键词: INVESTOR ATTENTION; BEHAVIOR; divergence; Sentiment; search; online; volume; return; media; RISK

摘要

Using daily advertising data, we analyze the short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that advertising positively affects attention. However, it has only little impact on turnover and liquidity. Most importantly, short-term stock returns are not significantly influenced by advertising. Further results suggest that previous findings of an economically significant positive relation between advertising and returns are due to reverse causality. Thus, the belief that stock prices can be temporarily inflated via advertising is misguided.