The Geography of Investor Attention

Marco Pagano, Stefano Mengoli and Pierpaolo Pattitoni

No 16747, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less attention by locals, and more by nonlocals close to the acquirer; second, COVID-19 travel restrictions correlate with a drop in relative attention to nonlocal companies, especially in locations with fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not viceversa. These findings are consistent with local investors having an information-processing advantage.

Keywords: Attention; Retail investors; Local investors; Distance; News; Liquidity; Volatility (search for similar items in EconPapers)
JEL-codes: D83 G11 G12 G14 G50 L86 R32 (search for similar items in EconPapers)
Date: 2021-11
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Related works:
Working Paper: The Geography of Investor Attention (2021)
Working Paper: The Geography of Investor Attention (2021)
Working Paper: The geography of investor attention (2021)
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