Stock return comovement when investors are distracted: More, and more homogeneous

Michael Ehrmann and David-Jan Jansen

Journal of International Money and Finance, 2022, vol. 129, issue C

Abstract: We study how investors re-allocate attention when the opportunity cost of acquiring information suddenly increases. Using intraday data for more than 750 stocks in 19 countries, we find that investors who are distracted by FIFA World Cup soccer matches shift attention away from firm-specific and global news. When movements in global stock markets are large, pricing of global news reverts back to normal, but domestic firm-specific news keep being priced less, leading to increased comovement with the national market. This increase is stronger for stocks that normally comove less with the national market, leading to a convergence in betas across stocks.

Keywords: Investor attention; Stock returns; Comovement; News (search for similar items in EconPapers)
JEL-codes: G12 G15 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Stock Return Comovement when Investors are Distracted: More, and More Homogeneous (2020)
Working Paper: Stock return comovement when investors are distracted: more, and more homogeneous (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001450

DOI: 10.1016/j.jimonfin.2022.102742

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