Market-wide attention, trading, and stock returns

Yu Yuan ()

Journal of Financial Economics, 2015, vol. 116, issue 3, 548-564

Abstract: Market-wide attention-grabbing events — record levels for the Dow and front-page articles about the stock market — predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events.

Keywords: Attention; Individual investor; Trading (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (97)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:116:y:2015:i:3:p:548-564

DOI: 10.1016/j.jfineco.2015.03.006

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