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Market-wide attention, trading, and stock returns

Author

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  • Yuan, Yu
Abstract
Market-wide attention-grabbing events — record levels for the Dow and front-page articles about the stock market — predict the trading behavior of investors and, in turn, market returns. Both aggregate and household-level data reveal that high market-wide attention events lead investors to sell their stock holdings dramatically when the level of the stock market is high. Such aggressive selling has a negative impact on market prices, reducing market returns by 19 basis points on days following attention-grabbing events.

Suggested Citation

  • Yuan, Yu, 2015. "Market-wide attention, trading, and stock returns," Journal of Financial Economics, Elsevier, vol. 116(3), pages 548-564.
    • Handle: RePEc:eee:jfinec:v:116:y:2015:i:3:p:548-564
    DOI: 10.1016/j.jfineco.2015.03.006
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Attention; Individual investor; Trading;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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