It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

• 成果类型: Article
• 署名作者: Ben-Rephael, Azi; Da, Zhi; Israelsen, Ryan D.
• 署名单位: Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Notre Dame
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx031
• 发表日期: 2017
• 页码: 3009
• 关键词: EARNINGS ANNOUNCEMENTS; stock returns; presidential-address; financial-markets; cross-section; INFORMATION; media; recommendations; Inattention; momentum

摘要

We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention. (JEL D83, G02, G12, G14, G23)