The Comovement of Investor Attention
研究发现投资者对一家公司的注意力会受其所在行业和整个市场的影响，这种注意力联动与公司规模、可见度有关，并导致股票超额收益联动，盈余公告还会将注意力从一家公司转移到同行。
Prior literature has documented that investor attention and constraints on that attention are associated with the pricing of stocks. We introduce the concept of attention comovement, which is the extent to which investor attention to a firm is explained by attention paid to the firm’s industry and the market in general. We find that attention comovement is nontrivial for the average firm and is related to firm characteristics, such as size and visibility. We also find that the comovement of investor attention has market consequences, in that it is positively associated with excess stock return comovement. Finally, we show that a firm’s earnings announcement contributes to the transfer of attention from one firm to its peer firms. Our results provide insights about the information flows underlying return comovement and aid in understanding the micro and macronature of investor attention. This paper was accepted by Mary Barth, accounting.