| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14713 |
| DP14713 Stock Return Comovement when Investors are Distracted: More, and More Homogeneous | |
| Michael Ehrmann; David-Jan Jansen | |
| 发表日期 | 2020-05-05 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the three editions of the FIFA World Cup between 2010 and 2018. Using intraday data for more than 750 firms in 19 countries, we find that distracted investors shift attention away from firm-specific and from global news. When movements in global stock markets are large, the pricing of global news reverts back to normal, but firm-specific news keep being priced less, leading to increased comovement of stock returns with the national stock market. This increase is economically large, and particularly strong for those stocks that typically comove little with the national market, thereby leading to a convergence in betas across stocks. |
| 主题 | Financial Economics |
| 关键词 | Investor attention Stock returns Comovement |
| URL | https://cepr.org/publications/dp14713 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543631 |
| 推荐引用方式 GB/T 7714 | Michael Ehrmann,David-Jan Jansen. DP14713 Stock Return Comovement when Investors are Distracted: More, and More Homogeneous. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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