什么时候注意力很重要?投资者关注对新闻发布前后股市波动的影响

Daniele Ballinari, F. Audrino, Fabio Sigrist
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引用次数: 9

摘要

我们实证研究了散户和机构投资者的注意力如何与股票市场处理信息的方式相关。通过对标普500指数中的360只美国股票的关注,我们的研究结果表明,散户投资者对新闻发布的关注增加了新闻发布后股票回报的波动性,而机构投资者的关注对新闻发布后几天的平均波动性有很小但负面的影响。这些发现与假设一致,即散户投资者的关注减缓了对新信息的价格调整,而机构投资者的关注则导致相反的反应。我们表明,这些影响在新闻类型和信息发布的主题上是异质的。一个投资组合配置应用程序强调,这些结果不仅在统计上显著,而且在经济方面也相当可观,可能导致高达数十个基点的超额表现。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases
We empirically investigate how retail and institutional investor attention is related to the way stock markets process information. With a focus on 360 US stocks in the S&P 500 universe, our results show that higher retail investors' attention around news releases increases the post-announcement stock return volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases on average over the cross-section of companies. These findings are in line with the hypotheses that attention of retail investors slows price-adjustments to new information and attention of institutional investors results in the opposite reaction. We show that these effects are heterogeneous in the type of news and the topic of the information being released. A portfolio allocation application highlights that these results are not only statistically significant but also sizeable in economic terms and can lead to an overperformance as large as dozens of basis points.
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