סמינר במימון חשבונאות

Speaker: Azi Ben-Rephael

 Abstract: Institutional investor attention is crucial for impounding information into asset prices. We propose a direct measure of abnormal institutional investor attention (AIA) using the news-searching and news-reading activity for specific stocks on Bloomberg terminals. We find AIA to be related to but different from other investor attention proxies and that AIA leads abnormal retail attention. In sharp contrast to retail attention that results in positive and temporary price pressure, AIA facilitates permanent price adjustment and alleviates price under-reaction to news. The well-documented price drifts following both earnings announcements and analyst recommendation changes come only from announcements where institutional investors fail to pay attention, according to our measure.