Information shocks and short-term market overreaction: The role of investor attention

Yongqiang Meng, Xiao Li and Xiong Xiong

International Review of Financial Analysis, 2024, vol. 93, issue C

Abstract: Employing jumps in stock return as a proxy for information shocks, we empirically discover the short-term overaction in the Chinese stock market. Trading strategies short (long) stocks with the largest (smallest) lagged cumulative jump returns earn sizable positive returns. Besides, the information shocks exhibit significant predictive ability for future returns. The market overreaction is robust to firm characteristics, subperiod analysis, and intraday analysis. Investor attention facilitates this short-term market overreaction.

Keywords: Jumps; Information shocks; Market overreactions; Investor attention (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001510

DOI: 10.1016/j.irfa.2024.103219

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