Attention triggers and investors' risk-taking

• 成果类型: Article
• 署名作者: Arnold, Marc; Pelster, Matthias; Subrahmanyam, Marti G.
• 署名单位: University of St Gallen; University of Paderborn; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.031
• 发表日期: 2022
• 页码: 846-875
• 关键词: INVESTOR ATTENTION; Trading behavior; risk-taking

摘要

This paper investigates how individual attention triggers influence financial risk-taking based on a large sample of trading records from a brokerage service that sends standardized push messages on stocks to retail investors. By exploiting the data in a difference-indifferences (DID) setting, we find attention triggers increase investors' risk-taking. Our DID coefficient implies attention trades carry, on average, a 19 percentage-point-higher leverage than non-attention trades. We provide a battery of cross-sectional analyses to identify the groups of investors and stocks for which this effect is stronger. (c) 2021 Elsevier B.V. All rights reserved.