It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

Azi Ben-Rephael, Zhi Da and Ryan Israelsen

The Review of Financial Studies, 2017, vol. 30, issue 9, 3009-3047

Abstract: We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention.Received February 24, 2016; editorial decision December 29, 2016 by Editor Andrew Karolyi.

JEL-codes: D83 G02 G12 G14 G23 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (222)

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