Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals

Alessandro Carretta (), Vincenzo Farina, Elvira Anna Graziano and Marco Reale

Chapter 1 in Asset Pricing, Real Estate and Public Finance over the Crisis, 2013, pp 7-24 from Palgrave Macmillan

Abstract: Abstract One of the most important research streams in finance is to understand the determinants of stock market dynamics. According to the theory of efficient financial markets (Fama, 1970), stock prices should reflect all available information. However, the evidence of an autocorrelation of stock returns at short horizons (Jegadeesh and Titman, 1993; Moskowitz and Grinblatt, 1999; Hong et al., 2007) suggests that that stock prices do not fully adjust to new information.

Keywords: Stock Market; Stock Return; Trading Volume; Individual Investor; Stock Market Return (search for similar items in EconPapers)
Date: 2013
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Working Paper: Does investor attention influence stock market activity? The case of spin-off deals (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-29377-0_2

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DOI: 10.1057/9781137293770_2

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