Stock Return Comovement When Investors Are Distracted
Download and Read Stock Return Comovement When Investors Are Distracted full books in PDF, ePUB, and Kindle. Read online free Stock Return Comovement When Investors Are Distracted ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Stock Return Comovement when Investors are Distracted
Author | : Michael Ehrmann |
Publisher | : |
Total Pages | : 28 |
Release | : 2020 |
Genre | : Investments |
ISBN | : |
Download Stock Return Comovement when Investors are Distracted Book in PDF, Epub and Kindle
This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the three editions of the FIFA World Cup between 2010 and 2018. Using intraday data for more than 750 firms in 19 countries, we find that distracted investors shift attention away from firm-specific and from global news. When movements in global stock markets are large, the pricing of global news reverts back to normal, but firm-specific news keep being priced less, leading to increased comovement of stock returns with the national stock market. This increase is economically large, and particularly strong for those stocks that typically comove little with the national market, thereby leading to a convergence in betas across stocks.