Investors have limited ability to process all available information. We provide evidence that investors’ limited attention affects the security prices and trading volume in the short run. Using a unique dataset hand-collected from the Internet portal in Korea, we directly measure the
investors’ attention on individual stocks through the rank information of the top 30 most frequently discussed stocks on the online stock message board. Investors’ attention is associated with significant increases in abnormal trading volume on the date when a stock is ranked on the board. Interestingly, less sophisticated individual investors continue buying more attention-grabbing stocks for a week after the event day. As for the stock return performance, whether or not investors are attentive to a stock is statistically significant to predict the next-day
performance of the stock. However, the effect of attention on the stock returns is short-lived and disappears within two days.
학술대회/행사
학술대회 및 야외답사
학술대회/행사
[2013년 제 1차] The effects of limited attention on investors’ trad
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게시일 :
2013-03-04