Frog in the Pan: Continuous Information and Momentum
研究发现，连续小幅信息比间断大幅信息更易被投资者忽视，导致更强的持续性价格动量且长期不反转，媒体关注可缓解该效应。
We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously in small amounts. Intuitively, we hypothesize that a series of frequent gradual changes attracts less attention than infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent return continuation that does not reverse in the long run. Momentum decreases monotonically from 5.94% for stocks with continuous information during their formation period to –2.07% for stocks with discrete information but similar cumulative formation-period returns. Higher media coverage coincides with discrete information and mitigates the stronger momentum following continuous information.