Market-wide attention, trading, and stock returns

• 成果类型: Article
• 署名作者: Yuan, Yu
• 署名单位: Shanghai Jiao Tong University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.03.006
• 发表日期: 2015
• 页码: 548-564
• 关键词: attention; individual investor; TRADING

摘要

Market-wide attention-grabbing events - record levels for the Dow and front-page articles about the stock market - predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events. (C) 2015 Elsevier B.V. All rights reserved.