Glued to the TV Distracted Noise Traders and Stock Market Liquidity

• 成果类型: Article
• 署名作者: Peress, Joel; Schmidt, Daniel
• 署名单位: INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12863
• 发表日期: 2020
• 页码: 1083-1133
• 关键词: cross-section; information acquisition; optimal inattention; Investor sentiment; attention; price; news; earnings; BEHAVIOR; media

摘要

In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on distraction days, trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes.