學術研究

Market Returns and a Tale of Two Types of Attention

日期 2020-10-13 (週二)
時間 02:30 PM
地點 Conference Room B110
主持人 Professor Chun-Che Chi
演講者 Mr. Chih-Ching Hung
演講者簡介 Mr. Hung will receive his Ph.D. in Finance at Baruch College, City University of New York in 2021. His research focuses on behavioral finance, household finance, and empirical asset pricing.
摘要 We show that daily aggregate retail attention to firms (ARA) strongly and negatively predicts future market returns, especially in down markets. Periods of high ARA are associated with less selling by retail investors but more selling by the other traders. In contrast, daily aggregate institutional attention to firms (AIA) positively predicts future market returns around major scheduled news announcements and when retail investors are inattentive. Our results suggest that institutional attention precedes the accrual of risk premium, while retail attention exacerbates the effect of behavioral biases and delays the diffusion of negative news.