Investor Inattention and the Market Impact of Summary Statistics

• 成果类型: Article
• 署名作者: Gilbert, Thomas; Kogan, Shimon; Lochstoer, Lars; Ozyildirim, Ataman
• 署名单位: University of Washington; University of Washington Seattle; University of Texas System; University of Texas Austin; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1475
• 发表日期: 2012
• 页码: 336-350
• 关键词: capital markets; stale macroeconomic information; investor inattention

摘要

We show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases: In particular, we identify a unique macroeconomic series-the U.S. Leading Economic Index (R) (LET)-which is released monthly and constructed as a summary statistic of previously released inputs. We show that a front-running strategy that trades S&P 500 futures in the direction of the announcement a day before its release and then trades in the opposite direction of the announcement following its release generates an average annual return of close to 8%. These patterns are more pronounced for high beta stocks, for stocks that are more difficult to arbitrage, and during times when investors' sensitivity to firm-specific stale information is high. Treasury futures exhibit similar, albeit less pronounced, price patterns. Other measures of information arrival, such as price volatility and volume, spike following the release. These empirical findings suggest that some investors are inattentive to the stale nature of the information included in the LEI releases, instead interpreting it as new information, and thereby causing temporary yet significant mispricing.