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Article: Attention Allocation and Return Comovement: Evidence from Repeated Natural Experiments

TitleAttention Allocation and Return Comovement: Evidence from Repeated Natural Experiments
Authors
Issue Date2018
Citation
Journal Of Financial Economics, 2018 How to Cite?
AbstractWe hypothesize that when investors’ attention to financial markets decreases, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors’ attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days.
Persistent Identifierhttp://hdl.handle.net/10722/261236

 

DC FieldValueLanguage
dc.contributor.authorHuang, S-
dc.contributor.authorLin, TC-
dc.contributor.authorHuang, Y-
dc.date.accessioned2018-09-14T08:54:48Z-
dc.date.available2018-09-14T08:54:48Z-
dc.date.issued2018-
dc.identifier.citationJournal Of Financial Economics, 2018-
dc.identifier.urihttp://hdl.handle.net/10722/261236-
dc.description.abstractWe hypothesize that when investors’ attention to financial markets decreases, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors’ attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days.-
dc.languageeng-
dc.relation.ispartofJournal Of Financial Economics-
dc.titleAttention Allocation and Return Comovement: Evidence from Repeated Natural Experiments-
dc.typeArticle-
dc.identifier.emailHuang, S: huangsy@hku.hk-
dc.identifier.emailLin, TC: chunlin@hku.hk-
dc.identifier.authorityHuang, S=rp02052-
dc.identifier.authorityLin, TC=rp01077-
dc.identifier.hkuros290077-

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