The Comovement of Investor Attention

Michael S. Drake (), Jared Jennings (), Darren T. Roulstone () and Jacob R. Thornock ()
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Michael S. Drake: Brigham Young University, Provo, Utah 84602
Jared Jennings: Washington University in St. Louis, St. Louis, Missouri 63130
Darren T. Roulstone: Ohio State University, Columbus, Ohio 43210
Jacob R. Thornock: Brigham Young University, Provo, Utah 84602

Management Science, 2017, vol. 63, issue 9, 2847-2867

Abstract: Prior literature has documented that investor attention and constraints on that attention are associated with the pricing of stocks. We introduce the concept of attention comovement, which is the extent to which investor attention to a firm is explained by attention paid to the firm’s industry and the market in general. We find that attention comovement is nontrivial for the average firm and is related to firm characteristics, such as size and visibility. We also find that the comovement of investor attention has market consequences, in that it is positively associated with excess stock return comovement. Finally, we show that a firm’s earnings announcement contributes to the transfer of attention from one firm to its peer firms. Our results provide insights about the information flows underlying return comovement and aid in understanding the micro and macronature of investor attention.

Keywords: investor attention; return comovement; attention comovement (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (37)

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