Attention Spillover in Asset Pricing
利用股票按代码顺序显示的屏幕特征，研究过度自信与有限注意力的交互如何影响资产定价，发现过去两周高收益股票旁边的股票未来一周收益更高但长期反转。
ABSTRACT Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.