Is Investor Attention for Sale? The Role of Advertising in Financial Markets
利用企业每日广告数据，研究发现印刷广告（尤其是商业出版物中的广告）会暂时吸引投资者注意力，并增加股票交易量和报价深度，揭示了广告对金融市场的溢出效应。
ABSTRACT Prior research documents capital market benefits of increased investor attention to accounting disclosures and media coverage; however, little is known about how investors and markets respond to attention‐grabbing events that reveal little nonpublic information. We use daily firm advertising data to test how advertisements, which are designed to attract consumers' attention, influence investors' attention and financial markets (i.e., spillover effects). Exploiting the fact that firms often advertise at weekly intervals, we use an instrumental variables approach to provide evidence that print ads, especially in business publications, trigger temporary spikes in investor attention. We further find that trading volume and quoted dollar depths increase on days with ads in a business publication. We contribute to research on how management choices influence firms' information environments, determinants and consequences of investor attention, and consequences of advertising for financial markets.