Keywords

investor attention, attention comovement, stock return comovement

Abstract

Prior literature has documented that investor attention and constraints on that attention are associated with the pricing of stocks. We introduce the concept of attention comovement, which is the extent to which investor attention for a firm is explained by attention paid to the firm’s industry and the market in general. We find that attention comovement is non-trivial for the average firm and is related to firm characteristics, such as size and visibility. We also find that the comovement of investor attention has market consequences, in that it is positively associated with excess stock return comovement. Finally, we show that a firm’s earnings announcement contributes to the transfer of attention from one firm to its peer firms. Our results provide insights about the information flows underlying return comovement and aid in understanding the micro- and macro-nature of investor attention.

Original Publication Citation

Drake, Michael S. and Roulstone, Darren T. and Jennings, Jared N. and Thornock, Jacob, The Comovement of Investor Attention (December 1, 2015). Management Science, 63 (9). http://dx.doi.org/10.2139/ssrn.2157727

Document Type

Peer-Reviewed Article

Publication Date

2015

Publisher

Management Science

Language

English

College

Marriott School of Business

Department

Accountancy

University Standing at Time of Publication

Full Professor

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