Does It Pay to Pay Attention?

• 成果类型: Article
• 署名作者: Gargano, Antonio; Rossi, Alberto G.
• 署名单位: University of Melbourne; University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy050
• 发表日期: 2018
• 页码: 4595
• 关键词: information acquisition; investor attention; stock-market; performance; overconfidence; PARTICIPATION; Inattention; WEALTH; volume; COSTS

摘要

We employ a novel brokerage account data set to investigate which individual investors are the most attentive, how investors allocate their attention, and the relation between investor attention and performance. Attention is positively related to investment performance, at both the portfolio return level and the individual trades level. We provide evidence that the superior performance of high-attention investors arises because they purchase attentiongrabbing stocks whose positive performance persists for up to six months. Finally, we show that paying attention is particularly profitable when trading stocks with high uncertainty, but for which a lot of public information is available.