Work

It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

Year: 2017

Type: article

Abstract: We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention. Received February 24, 2016; editorial decision December 29, 2016 by Editor Andrew Karolyi.

Source: Review of Financial Studies

DOI: 10.1093/rfs/hhx031

Authors: Azi Ben-Rephael, Zhi Da, Ryan D. Israelsen

Institutions: Indiana University Bloomington, Indiana University, University of Notre Dame

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3124283099

FWCI: 64.41

Cites: 63

Cited by: 702

Related to: 9