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Investor Attention and Stock Price Movement

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  • Chiao-Ming Cheng
  • Alex YiHou Huang
  • Ming-Che Hu

Abstract

Prior studies have documented that information presence (absence) leads to price continuation (reversal) when a stock price experiences extreme shock. The authors investigate whether the level of investor attention have an impact on stock price dynamics following the shock. They show that when shocks are not accompanied by new information, the price generally reverses, and the magnitude of the reversal is stronger for stocks with lower degree of investor attention. The asymmetric effect on the magnitude of reversal is stronger for stock with higher return volatility. In addition, for the price shocks accompanied by new information, stock price would continue for a short run, and such continuation is statistically significant and stronger when investors are optimistic toward to the stocks.

Suggested Citation

  • Chiao-Ming Cheng & Alex YiHou Huang & Ming-Che Hu, 2019. "Investor Attention and Stock Price Movement," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(3), pages 294-303, July.
    • Handle: RePEc:taf:hbhfxx:v:20:y:2019:i:3:p:294-303
    DOI: 10.1080/15427560.2018.1513404
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    Cited by:

    1. Smales, L.A., 2021. "Investor attention and global market returns during the COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Aiche Avishay & Cohen Gil & Griskin Vladimir, 2024. "Stocks Opening Price Gaps and Adjustments to New Information," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 877-891, February.
    3. Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.

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