Abstract:
This paper investigates into whether capital market investor attention as a whole is a scarce resource and how it allocates. Using the daily attention index from Hexun.com as a proxy for a firm’s investor attention, we find the magnitude of investor attention cause by a firm’s financial report is negatively related to the number of same-day financial reports. Further, firms with high market visibility are more likely to retain market attention, and firms have incentive to enhance distraction effect to avoid market attention when they have bad performance. The study provides direct evidence for the scarcity of capital market attention as a whole.
金宇超, 靳庆鲁, 李晓雪. 资本市场注意力总量是稀缺资源吗？[J]. 金融研究, 2017, 448(10): 162-177.
JIN Yuchao, JIN Qinglu, LI Xiaoxue. Is Investor Attention as a Whole Scarce Resource?. Journal of Financial Research, 2017, 448(10): 162-177.
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