Tradin’ in the Rain: Attention Allocation and Investment Performance

Dien Giau Bui, Shiyang Huang, Chih-Yung Lin, Tse-Chun Lin
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引用次数: 1

Abstract

We propose a multi-asset model to study how attention allocation affects investment performance. Our model predicts that when investors allocate more attention to the stock market, they have better investment performance. This attention effect is stronger among high-beta stocks. Using rainy days as exogenous attention shocks and a nationwide trading dataset at the brokerage-branch level, we first show that retail investors pay more attention to the stock market on rainy days. Consistent with the model predictions, we find that retail investors have better trading performance on rainy days, especially for high-beta stocks. We also find lower return co-movement and stronger market reactions to earnings announcements on rainy days.
雨中交易:注意力分配与投资绩效
我们提出了一个多资产模型来研究注意力分配对投资绩效的影响。我们的模型预测,当投资者将更多的注意力分配到股票市场时,他们的投资绩效会更好。这种注意力效应在高贝塔股票中更为明显。以下雨天作为外生关注冲击,利用全国券商层面的交易数据,我们首先证明了散户投资者在下雨天更关注股市。与模型预测一致,我们发现散户投资者在雨天有更好的交易表现,特别是对于高贝塔股票。我们还发现,在雨天,市场对收益公告的反应更强,而回报的共同变动更低。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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