Stock Returns and the Cross-Section of Investor Attention
Authors: Michael Ungeheuer (University of Mannheim)
Title: Stock Returns and the Cross-Section of Investor Attention
Abstract: Stocks ranked as daily winners and losers experience large spikes in investor attention, whereas stocks with extreme returns neighboring ranked stocks do not experience any abnormal attention. This effect is most pronounced directly after markets close---even when rankings are based on close-to-open returns---suggesting it is not explained by reverse causality or direct effects of news. Historical Wall Street Journal rankings have a large and similar effect for stocks with low vs. high contemporaneous news coverage. Hence, reporting of news stories does not seem to explain the ranking effect. Attention directed to the small set of daily winners and losers is a potential novel driver of information dissemination, trading, and prices.