Glued to the TV: Distracted Noise Traders and Stock Market Liquidity
研究噪声交易者注意力有限对金融市场的影响，发现当噪声交易者被市场外的轰动新闻分心时，交易活动、流动性和波动性下降，主要由噪声交易者持有的股票价格反转减少，这与知情投机者和做市商注意力不足的结果相反，且符合噪声交易者缓解逆向选择风险的观点。
ABSTRACT In this paper, we study the impact of noise traders’ limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on “distraction days,” trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes.