Advertising, Attention, and Financial Markets
利用日度广告数据，研究广告对投资者注意力和金融市场短期结果的影响，发现广告虽能吸引注意力，但对交易量、流动性和股票收益影响不大，且先前发现的广告与收益的正相关源于反向因果。
Abstract Using daily advertising data, we analyze the short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that advertising positively affects attention. However, it has only little impact on turnover and liquidity. Most importantly, short-term stock returns are not significantly influenced by advertising. Further results suggest that previous findings of an economically significant positive relation between advertising and returns are due to reverse causality. Thus, the belief that stock prices can be temporarily inflated via advertising is misguided.