Frog in the Pan: Continuous Information and Momentum

• 成果类型: Article
• 署名作者: Da, Zhi; Gurun, Umit G.; Warachka, Mitch
• 署名单位: University of Notre Dame; University of Texas System; University of Texas Dallas; Claremont Colleges; Claremont McKenna College; Claremont Graduate University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu003
• 发表日期: 2014
• 页码: 2171
• 关键词: cross-section; limited attention; PAST RETURNS; MARKET; news; underreaction; investors; ANALYST; media; RISK

摘要

We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously in small amounts. Intuitively, we hypothesize that a series of frequent gradual changes attracts less attention than infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent return continuation that does not reverse in the long run. Momentum decreases monotonically from 5.94% for stocks with continuous information during their formation period to -2.07% for stocks with discrete information but similar cumulative formation-period returns. Higher media coverage coincides with discrete information and mitigates the stronger momentum following continuous information.