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Attention Spillover in Asset Pricing

Author

Listed:
  • XIN CHEN
  • LI AN
  • ZHENGWEI WANG
  • JIANFENG YU

Abstract

Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.

Suggested Citation

  • Xin Chen & Li An & Zhengwei Wang & Jianfeng Yu, 2023. "Attention Spillover in Asset Pricing," Journal of Finance, American Finance Association, vol. 78(6), pages 3515-3559, December.
    • Handle: RePEc:bla:jfinan:v:78:y:2023:i:6:p:3515-3559
    DOI: 10.1111/jofi.13281
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    Cited by:

    1. Mao, Yang-Rong & Shi, Huai-Long & Chen, Huayi & Wan, Yu-Lei, 2025. "Detecting cross-firm momentum effects via shared analyst coverage: The role of leaders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 105(C).
    2. Zeguang Li & Jianmin Liu & Bluford Putnam & Arthur Yu, 2026. "Network information transmission of investor sentiment and asymmetric volatility spillover effects," Review of Financial Economics, John Wiley & Sons, vol. 44(1), January.
    3. Wu, Haili, 2025. "Cultural biases in the investment decision-making process of institutional investors," International Review of Financial Analysis, Elsevier, vol. 106(C).
    4. Zhi Da & Jian Hua & Tim Chih-Ching Hung & Lin Peng, 2025. "Market Returns and a Tale of Two Types of Attention," Management Science, INFORMS, vol. 71(12), pages 10505-10537, December.

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