I analyze the effect of stock returns on investor attention and document a new stylized fact: Stocks ranked as daily winners and losers experience large spikes in investor attention, while non-ranked stocks with extreme returns do not experience any change in attention. Using hourly Wikipedia firm page views to measure investor attention, I show that this relation is not explained by reverse causality, contemporaneous or extreme news, or reporting of news specifically for ranked stocks. The effect of daily stock returns on investor attention seems to be driven by winner and loser rankings themselves. Attention directed to the small set of ranked stocks is followed by economically significant information dissemination and trading.
Dieser Eintrag ist Teil der Universitätsbibliographie.
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