Attention and Trading
The level of attention that investors give to financial markets influences trading behavior and in turn price levels. This study empirically explores the effcts of attention levels on investors trading behavior and on market price dy- namics. Specifically, we analyze the ability of market-wide attention-grabbing events - record-breaking events of the Dow index and front page articles about the stock market - to predict the trading behavior of investors and market returns. The empirical results show that the impact of attention is pervasive across the market. Using both aggregate and household-level data, we doc- ument that high attention causes individual investors to reduce their stock holdings dramatically when the market level is high and to increase their stock holdings modestly when the market level is low. The aggressive selling by in- dividual investors induces institutional investors to trade and has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events.
Yu Yuan
Department of Finance,The Wharton School of the University of Pennsylvania,3620 Locust Walk,Suite 2300,Philadelphia,PA 19104
国际会议
大连
英文
1-43
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）