Does It Pay to Pay Attention?
利用券商账户数据，研究发现注意力高的投资者投资业绩更好，因为他们买入的关注度高的股票在六个月内持续表现良好，且这种效应在不确定性高但公开信息多的股票中更显著。
We employ a novel brokerage account data set to investigate which individual investors are the most attentive, how investors allocate their attention, and the relation between investor attention and performance. Attention is positively related to investment performance, at both the portfolio return level and the individual trades level. We provide evidence that the superior performance of high-attention investors arises because they purchase attention-grabbing stocks whose positive performance persists for up to six months. Finally, we show that paying attention is particularly profitable when trading stocks with high uncertainty, but for which a lot of public information is available.