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Do Top 10 Lists of Daily Stock Returns Attract Investor Attention? Evidence from a Natural Experiment

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  • Diefeng Peng
  • Yulei Rao
  • Mei Wang

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  • Diefeng Peng & Yulei Rao & Mei Wang, 2016. "Do Top 10 Lists of Daily Stock Returns Attract Investor Attention? Evidence from a Natural Experiment," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 565-593, December.
    • Handle: RePEc:bla:irvfin:v:16:y:2016:i:4:p:565-593
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    File URL: http://hdl.handle.net/10.1111/irfi.12091
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    References listed on IDEAS

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    4. Kaniel, Ron & Parham, Robert, 2017. "WSJ Category Kings – The impact of media attention on consumer and mutual fund investment decisions," Journal of Financial Economics, Elsevier, vol. 123(2), pages 337-356.
    5. Joel Peress, 2014. "The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes," Journal of Finance, American Finance Association, vol. 69(5), pages 2007-2043, October.
    6. Seasholes, Mark S. & Wu, Guojun, 2007. "Predictable behavior, profits, and attention," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 590-610, December.
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    10. Yuan, Yu, 2015. "Market-wide attention, trading, and stock returns," Journal of Financial Economics, Elsevier, vol. 116(3), pages 548-564.
    11. Ma, C.K. & Rao, R.P. & Sears, R.S., 1989. "Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t7, Columbia - Center for Futures Markets.
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    13. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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    15. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
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    19. Zhi Da & Joseph Engelberg & Pengjie Gao, 2011. "In Search of Attention," Journal of Finance, American Finance Association, vol. 66(5), pages 1461-1499, October.
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    31. repec:bla:germec:v:11:y:2010:i::p:381-396 is not listed on IDEAS
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    34. David Hirshleifer & Sonya Seongyeon Lim & Siew Hong Teoh, 2009. "Driven to Distraction: Extraneous Events and Underreaction to Earnings News," Journal of Finance, American Finance Association, vol. 64(5), pages 2289-2325, October.
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    36. Joseph E. Engelberg & Christopher A. Parsons, 2011. "The Causal Impact of Media in Financial Markets," Journal of Finance, American Finance Association, vol. 66(1), pages 67-97, February.
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    3. Hagmann, David & Sajons, Gwendolin & Tinsley, Catherine, 2022. "Statistical Discrimination Against Underrepresented Groups," OSF Preprints cnv45, Center for Open Science.
    4. Reyes, Tomas & Batista, Julian A. & Chacon, Alvaro & Martinez, Diego & Kausel, Edgar E., 2023. "Attention-driven reaction to extreme earnings surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 230-248.

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