Retail Attention, Institutional Attention
研究发现宏观经济新闻会挤占散户对公司盈利新闻的注意力达49%，并削弱盈利公告回报，但机构投资者的注意力反而增加，这揭示了不同投资者群体对信息的注意力差异及其市场影响。
Abstract We document distinctly different clientele effects on investor attention and return responses to information. Macro news crowds out retail investor attention to firms’ earnings news by 49%. For stocks with high retail ownership, macro news dampens earnings announcement returns by 17% and substantially increases post-announcement drift, especially during high VIX periods. In contrast, macro news increases institutional investor attention to scheduled earnings announcements but not their attention to unscheduled analysts’ forecast revisions. The findings confirm the implications of rational inattention models and highlight the importance of considering clientele effects in understanding the effect of news on attention and asset prices.