Market Returns and a Tale of Two Types of Attention
2020/10/13
研討會日期 : 2020-10-13
時間 : 14:30
主講人 : Mr. Chih-Ching Hung
主持人 : Professor Chun-Che Chi
地點 : Conference Room B110
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.
演講摘要 : 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.
