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- Publisher Website: 10.1016/j.jfineco.2018.10.006
- Scopus: eid_2-s2.0-85055574337
- WOS: WOS:000469165300005
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Article: Attention Allocation and Return Co-movement: Evidence from Repeated Natural Experiments
Title | Attention Allocation and Return Co-movement: Evidence from Repeated Natural Experiments |
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Authors | |
Keywords | Lottery jackpots Attention shocks Attention allocation Return co-movement Earnings surprises |
Issue Date | 2019 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec |
Citation | Journal of Financial Economics, 2019, v. 132 n. 2, p. 369-383 How to Cite? |
Abstract | We hypothesize that when investors pay less attention to financial markets, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors’ attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days. |
Persistent Identifier | http://hdl.handle.net/10722/261236 |
ISSN | 2023 Impact Factor: 10.4 2023 SCImago Journal Rankings: 13.655 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Huang, S | - |
dc.contributor.author | Huang, Y | - |
dc.contributor.author | Lin, TC | - |
dc.date.accessioned | 2018-09-14T08:54:48Z | - |
dc.date.available | 2018-09-14T08:54:48Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Journal of Financial Economics, 2019, v. 132 n. 2, p. 369-383 | - |
dc.identifier.issn | 0304-405X | - |
dc.identifier.uri | http://hdl.handle.net/10722/261236 | - |
dc.description.abstract | We hypothesize that when investors pay less attention to financial markets, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors’ attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.subject | Lottery jackpots | - |
dc.subject | Attention shocks | - |
dc.subject | Attention allocation | - |
dc.subject | Return co-movement | - |
dc.subject | Earnings surprises | - |
dc.title | Attention Allocation and Return Co-movement: Evidence from Repeated Natural Experiments | - |
dc.type | Article | - |
dc.identifier.email | Huang, S: huangsy@hku.hk | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Huang, S=rp02052 | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jfineco.2018.10.006 | - |
dc.identifier.scopus | eid_2-s2.0-85055574337 | - |
dc.identifier.hkuros | 290077 | - |
dc.identifier.hkuros | 295616 | - |
dc.identifier.volume | 132 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 369 | - |
dc.identifier.epage | 383 | - |
dc.identifier.isi | WOS:000469165300005 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.ssrn | 2872078 | - |
dc.identifier.issnl | 0304-405X | - |