File Download
Supplementary
-
Citations:
- Appears in Collections:
Conference Paper: Attention allocation and return co-movement: evidence from repeated natural experiments
Title | Attention allocation and return co-movement: evidence from repeated natural experiments |
---|---|
Authors | |
Keywords | Limited attention Attention allocation Return co-movement Earnings surprises |
Issue Date | 2016 |
Citation | The 14th Annual Conference of the China International Conference in Finance (CICF), Xiamen, China, 7-10 July 2016. How to Cite? |
Abstract | We study how attention allocation affects the composition of market/industry and firm-specific information in stock prices via repeated natural experiments. Using large jackpots of Taiwanese nationwide lotteries as exogenous shocks to investors’ attention, we find: (1) individual stock returns co-move more with the market/industry returns on large jackpot days; (2) large jackpots have stronger effects on stock returns’ co-movement with the market than with the industry; (3) the effect of large jackpots on return co-movement is stronger for stocks preferred by retail investors; and (4) the market under-reacts to firms’ earnings surprises on large jackpot days and reverts within one week. Our findings are consistent with the existing theory that attention-constrained investors focus more on market- and sector-level information than on firm-specific information. |
Persistent Identifier | http://hdl.handle.net/10722/233166 |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Huang, S | - |
dc.contributor.author | Huang, Y | - |
dc.contributor.author | Lin, TC | - |
dc.date.accessioned | 2016-09-20T05:35:00Z | - |
dc.date.available | 2016-09-20T05:35:00Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | The 14th Annual Conference of the China International Conference in Finance (CICF), Xiamen, China, 7-10 July 2016. | - |
dc.identifier.uri | http://hdl.handle.net/10722/233166 | - |
dc.description.abstract | We study how attention allocation affects the composition of market/industry and firm-specific information in stock prices via repeated natural experiments. Using large jackpots of Taiwanese nationwide lotteries as exogenous shocks to investors’ attention, we find: (1) individual stock returns co-move more with the market/industry returns on large jackpot days; (2) large jackpots have stronger effects on stock returns’ co-movement with the market than with the industry; (3) the effect of large jackpots on return co-movement is stronger for stocks preferred by retail investors; and (4) the market under-reacts to firms’ earnings surprises on large jackpot days and reverts within one week. Our findings are consistent with the existing theory that attention-constrained investors focus more on market- and sector-level information than on firm-specific information. | - |
dc.language | eng | - |
dc.relation.ispartof | Annual Conference of the China International Conference in Finance, CICF 2016 | - |
dc.relation.ispartof | 2016中国金融际年会 | - |
dc.subject | Limited attention | - |
dc.subject | Attention allocation | - |
dc.subject | Return co-movement | - |
dc.subject | Earnings surprises | - |
dc.title | Attention allocation and return co-movement: evidence from repeated natural experiments | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Huang, S: huangsy@hku.hk | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Huang, S=rp02052 | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | postprint | - |
dc.identifier.hkuros | 263266 | - |