Does investor attention influence stock market activity? The case of spin-off deals

Alessandro Carretta (), Vincenzo Farina, Elvira Anna Graziano and Marco Reale

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates empirically the nature of the interactions between mass media, investor attention and the stock market using data from a sample of 16 spin-off deals traded on NYSE and published between 2004 and 2010 in “Wall Street Journal”, the US’s second-largest newspaper by circulation. The results show that: i) the impact of media sentiment on the stock market reactions is enhanced / moderated by the level of attention of investors; ii) individual investors’ attention is grabbed by stocks experiencing high trading volumes on the previous day; iii) high attention could result in downward pressure on stock market returns.

Keywords: Media Sentiment; Investor Attention; Internet Search; Spin-off (search for similar items in EconPapers)
JEL-codes: G10 G34 (search for similar items in EconPapers)
Date: 2011-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Chapter: Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:33545

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