Investor Attention Spill-Over Effect: Evidence from DJIA Record Days
نویسندگان
چکیده
Using the Dow Jones Industrial Average Index record breaking days as a proxy for market wide attention, we show that as the aggregate stock market intensifies investor attention, stock market response to individual firms’ earnings announcements significantly increases. We hypothesize that there are many channels for the attention spill-over effect and document strong supportive evidence of one important mechanism: the trading volume channel. Heightened investor attention to the aggregate stock market induces investors to trade more before individual earnings announcements and accelerates the stock market reaction. Overall, our empirical results document an important investor attention spill-over effect within the context of earnings announcements. JEL Classification: G11, G14, G15
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