Journal of Financial Economics Vol. 116 No. 3 2015
Market-wide attention, trading, and stock returns
Abstract
Market-wide attention-grabbing events — record levels for the Dow and front-page articles about the stock market — predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events.
- DOI
- 10.1016/j.jfineco.2015.03.006
- Volume
- 116
- Issue
- 3
- Pages
- 548-564
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref