作者：Drake, Michael S.; Jennings, Jared; Roulstone, Darren T.; Thornock, Jacob R.
作者单位：Brigham Young University; Washington University (WUSTL); University System of Ohio; Ohio State University
摘要：Prior literature has documented that investor attention and constraints on that attention are associated with the pricing of stocks. We introduce the concept of attention comovement, which is the extent to which investor attention to a firm is explained by attention paid to the firm's industry and the market in general. We find that attention comovement is nontrivial for the average firm and is related to firm characteristics, such as size and visibility. We also find that the comovement of in...
