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The geography of investor attention

Stefano Mengoli, Marco Pagano () and Pierpaolo Pattitoni ()

No 671, CFS Working Paper Series from Center for Financial Studies (CFS)

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
New Economics Papers: this item is included in nep-cwa, nep-mst and nep-ure
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https://www.econstor.eu/bitstream/10419/248406/1/1782207724.pdf (application/pdf)

Related works:
Working Paper: The Geography of Investor Attention (2021) Downloads
Working Paper: The Geography of Investor Attention (2021) Downloads
Working Paper: The Geography of Investor Attention (2021) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:671

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