Institutional Investor Attention

• 成果类型: Article
• 署名作者: Kwan, Alan; Liu, Yukun; Matthies, Ben
• 署名单位: University of Hong Kong; University of Rochester; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70009
• 发表日期: 2026-04
• 关键词: home bias; INFORMATION; search; media; Inattention; BEHAVIOR; prices; MARKET; news

摘要

Using data on Internet news reading, we measure fund-level attention to both aggregate and firm-specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility. Those funds that exhibit stronger attention-reallocation patterns earn higher future returns. In the cross-section of fund portfolios, fund attention is positively related to stock holdings. Furthermore, fund attention to a stock increases the value-add of that position to the fund's performance. This relationship is stronger using fund attention to more value-relevant news articles.