Financial Attention

• 成果类型: Article
• 署名作者: Sicherman, Nachum; Loewenstein, George; Seppi, Duane J.; Utkus, Stephen P.
• 署名单位: Columbia University; Carnegie Mellon University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv073
• 发表日期: 2016
• 页码: 863
• 关键词: limited attention; MARKET; INFORMATION; investors; returns; RISK; utility; anticipation; consumption; volatility

摘要

This paper investigates financial attention using novel panel data on daily investor online account logins. We find support for selective attention to portfolio information. Account logins fall by 9.5% after market declines. Investors also pay less attention when the VIX volatility index is high. The level of attention and the attention/return correlation are strongly related to investor demographics (gender, age) and financial position (wealth, holdings). Using a new statistical decomposition, we show how aggregate and individual household trading are related to investor attention.