It Depends on Where You Search: Institutional Investor Attention and Underreaction to News
利用彭博终端上的新闻搜索和阅读活动，构建机构投资者异常关注度指标，发现机构关注度领先散户关注度，且公告后价格漂移源于机构关注不足。
We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention.Received February 24, 2016; editorial decision December 29, 2016 by Editor Andrew Karolyi.