Investor Inattention and the Underreaction to Stock Recommendations
研究发现，投资者注意力不足导致对股票推荐反应不足，低关注度股票在推荐后漂移幅度是高关注度股票的两倍以上，支持注意力不足是推荐漂移的原因。
Investors’ reaction to stock recommendations is often incomplete so that there is a predictable postrecommendation drift. I investigate investor inattention as a plausible explanation for this drift by using prior turnover as a proxy for attention. I find that low‐attention stocks react less to stock recommendations than high‐attention stocks around the three‐day event window. Subsequently, the recommendation drift of firms with low attention is more than double in magnitude when compared to firms with high attention. Similar conclusions are reached with alternative proxies for attention. The evidence supports investor inattention as a source of the stock recommendation drift.