Identifying the Effects of Macroeconomic Attention Through Foreign Investor Distraction
利用外国投资者因本国风险因素而分心的现象，研究其对21个新兴经济体宏观经济新闻关注度的影响，发现关注度增加会提高货币政策公告前的股票回报和公告日交易量。
Abstract While the causal impact of limited attention to macroeconomic news is difficult to detect, this article proposes one solution: exploiting when foreign investors are “distracted” by risk factors in their home markets. I demonstrate that financial activity in the average foreign investor’s home market decreases foreign attention paid to 21 emerging economies, measured using Google search volume for economy-specific financial terms that emanate from outside each economy’s border. Exploiting this effect using an instrumental variables approach, I find that an exogenous increase in foreign attention preceding a scheduled monetary policy rate announcement raises preannouncement stock returns and announcement day turnover.