Investor Attention Around Corporate Restructurings
利用SEC文件与网站流量数据，发现异常投资者关注能提前预测公司重组公告，且关注度在公告后持续升高；零售投资者与共同基金的异常关注均与长期超额收益正相关，表明部分零售投资者并非噪音交易者。
ABSTRACT We investigate investor behavior and firm performance related to corporate restructuring announcements using a database of Securities and Exchange Commission (SEC) filings by US firms and web traffic on the SEC's website. We find that abnormal investor attention positively predicts restructuring announcements for up to 3 months prior to the announcement and attention stays elevated for at least 12 months afterward. This is true for the attention of both retail investors and mutual funds. We also find that abnormal attention from both retail investors and mutual funds prior to a restructuring announcement is positively related to long‐run abnormal returns to the firm, suggesting that some retail investors exhibit a high degree of sophistication and are not simply noise traders. Our results are consistent with investors focusing their limited attention on restructuring plans with the highest probability of restructuring success.