Attention Spillover in Asset Pricing

• 成果类型: Article
• 署名作者: Chen, Xin; An, Li; Wang, Zhengwei; Yu, Jianfeng
• 署名单位: Audencia; Shenzhen University; Tsinghua University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13281
• 发表日期: 2023
• 页码: 3515-3559
• 关键词: cross-section; investor attention; returns; MARKET; underreaction; performance; lotteries; BEHAVIOR; search; IMPACT

摘要

Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.