Advertising, investor attention, and stock prices: Evidence from a natural experiment
利用企业赞助大学橄榄球碗赛作为自然实验，研究发现广告通过吸引投资者注意力导致股票交易量异常增加和价格暂时偏离基本面，零售投资者净买入而机构投资者随后卖出促使价格回归。
Abstract I test whether advertising affects stock prices through an investor attention channel. I use corporate sponsorships of college football bowl games as a natural experiment that provides variation in advertising exposure that is unrelated to firm fundamentals. Sponsoring firms' stocks experience large increases in investor attention, abnormally high turnover, and temporary price pressure that is related to bowl games' TV‐ratings and score differentials. Retail investors are net buyers of sponsors' stocks, whereas institutional investors initially remain neutral and then start selling, ultimately driving a reversal toward fundamental values. These findings shed light on who wins/loses when advertising attracts investor attention.