It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

被引：376

作者：

Ben-Rephael, Azi ^{[1
]}

Da, Zhi ^{[2
]}

Israelsen, Ryan D. ^{[1
]}

机构：

[1] Indiana Univ, Kelley Sch Business, 1309 E Tenth St, Bloomington, IN 47405 USA

[2] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2017年 / 30卷 / 09期

关键词：

EARNINGS ANNOUNCEMENTS; STOCK RETURNS; PRESIDENTIAL-ADDRESS; FINANCIAL-MARKETS; CROSS-SECTION; INFORMATION; MEDIA; RECOMMENDATIONS; INATTENTION; MOMENTUM;

D O I：

10.1093/rfs/hhx031

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention. (JEL D83, G02, G12, G14, G23)

引用

页码：3009 / 3047

页数：39

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