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Investor Attention and Time‐varying Comovements
16 references·16 citing·44 second hopsampled
Investor Attention and Time‐varying Comovements (2007)Investor Attention and Time‐varying Comov…Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Driven to Distraction: Extran…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Implications of rational inattention (2003)Implications of rational inat…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectStock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Stock return variances (1986)Stock return variancesInformation aggregation in a noisy rational expectations economy (1981)Information aggregation in a …Google search trends and stock markets: Sentiment, attention or uncertainty? (2023)Google search trends and stoc…Unintentional herd behavior via the Google search volume index in international equity markets (2022)Unintentional herd behavior v…Retail Attention, Institutional Attention (2022)Retail Attention, Institution…Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis (2022)Foundations and research clus…The time-varying causal relationship between the Bitcoin market and internet attention (2021)The time-varying causal relat…Does retail investor attention improve stock liquidity? A dynamic perspective (2020)Does retail investor attentio…Investor Attention and Stock Market Activities: New Evidence from Panel Data (2019)Investor Attention and Stock …How mood affects the stock market: Empirical evidence from microblogs (2019)How mood affects the stock ma…Limited attention of individual investors and stock performance: Evidence from the ChiNext market (2015)Limited attention of individu…Investor attention and information diffusion from analyst coverage (2014)Investor attention and inform…Does Limited Attention Constrain Investors’ Acquisition of Firm‐specific Information? (2014)Does Limited Attention Constr…Do investors show an attentional bias toward past performance? An eye-tracking experiment on visual attention to mutual fund disclosures in simplified fund prospectuses (2014)Do investors show an attentio…Abnormal Accruals and Managerial Intent: Evidence from the Timing of Merger Announcements and Completions (2014)Abnormal Accruals and Manager…Patent- and Innovation-Driven Performance in Venture Capital-Backed IPOs (2013)Patent- and Innovation-Driven…Limited Attention (2010)Limited AttentionDriven to Distraction: Extraneous Events and Underreaction to Earnings News (2007)Driven to Distraction: Extran…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Some International Evidence on Output-Inflation Tradeoffs. (1973)An Economic Theory of Self-Control (1977)Golden Eggs and Hyperbolic Discounting (1997)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Principles of Psychology (1891)The Framing of Decisions and the Psychology of Choice (1981)Investor Inattention and Friday Earnings Announcements (2009)Innovative efficiency and stock returns (2012)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)The Limits of Arbitrage (1995)Economic Links and Predictable Returns (2008)Competition and Financial Stability (2004)
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References

  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2003Implications of rational inattention3,869 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1986Stock return variances1,813 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2009Driven to Distraction: Extraneous Events and Underreaction to Earnings News1,539 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model

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997 cited
  • 2001Contagion as a Wealth Effect926 cited
  • Cited by

    • 2007Driven to Distraction: Extraneous Events and Underreaction to Earnings News113 cited
    • 2022Retail Attention, Institutional Attention109 cited
    • 2020Does retail investor attention improve stock liquidity? A dynamic perspective92 cited
    • 2015Limited attention of individual investors and stock performance: Evidence from the ChiNext market86 cited
    • 2019How mood affects the stock market: Empirical evidence from microblogs67 cited
    • 2023Google search trends and stock markets: Sentiment, attention or uncertainty?54 cited
    • 2014Abnormal Accruals and Managerial Intent: Evidence from the Timing of Merger Announcements and Completions45 cited
    • 2022Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis43 cited
    • 2021The time-varying causal relationship between the Bitcoin market and internet attention37 cited
    • 2019Investor Attention and Stock Market Activities: New Evidence from Panel Data35 cited
    • 2014Investor attention and information diffusion from analyst coverage33 cited
    • 2022Unintentional herd behavior via the Google search volume index in international equity markets33 cited
    • 2014Does Limited Attention Constrain Investors’ Acquisition of Firm‐specific Information?29 cited
    • 2014Do investors show an attentional bias toward past performance? An eye-tracking experiment on visual attention to mutual fund disclosures in simplified fund prospectuses29 cited
    • 2010Limited Attention28 cited
    • 2013Patent- and Innovation-Driven Performance in Venture Capital-Backed IPOs26 cited