Does the attention-grabbing mechanism work on Sundays? Influence of social and religious factors on investors' attention

Riccardo Ferretti and Andrea Sciandra

Review of Behavioral Finance, 2021, vol. 14, issue 5, 791-805

Abstract: Purpose - This paper focuses on the influence of social, cultural and religious factors on investors' attention. In particular, the authors examined if the attention-grabbing mechanism works on Sundays, that is, if the Italians' Sunday activities and habits lead to a lower attention to second-hand financial news, compared to Saturdays. Design/methodology/approach - The authors analyzed the market reaction to equivalent stale events published on the Saturday and Sunday editions of an Italian financial newspaper and conducted a standard event study on abnormal returns and abnormal volumes for Saturday and Sunday columns and a multivariate analysis on abnormal returns for columns reporting positive recommendations. As a robustness check, the authors performed a sentiment analysis of the columns and included this variable in the regression analysis, but sentiment proved to be not significant in the final model. Findings - The study’s results confirmed that the attention-grabbing mechanism directed buying decisions, while had no influence on selling decisions. Furthermore, event study and multivariate analysis showed a significant lower market reaction to Sunday columns, supporting the study hypothesis of a Sunday investors' inattention which can be traced to cultural and/or religious factors since Sunday in Italy is a day devoted to family, entertainment and religious rituals. Practical implications - The lower investors' attention on Sundays and the related influence of social, cultural and religious factors have implications for the timing of both corporate communications and financial advertising. Originality/value - The authors’ paper provides an original contribution, on the empirical ground, to the attention-grabbing theory and to the growing theoretical literature in microeconomics that models attention.

Keywords: Behavioral finance; Individual investors; Event studies; Investor' attention; Second-hand news (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:rbfpps:rbf-03-2021-0047

DOI: 10.1108/RBF-03-2021-0047

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