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Does investor attention influence stock market activity? The case of spin-off deals

Author

Listed:
  • Carretta, Alessandro
  • Farina, Vincenzo
  • Graziano, Elvira Anna
  • Reale, Marco

Abstract

This paper investigates empirically the nature of the interactions between mass media, investor attention and the stock market using data from a sample of 16 spin-off deals traded on NYSE and published between 2004 and 2010 in “Wall Street Journal”, the US’s second-largest newspaper by circulation. The results show that: i) the impact of media sentiment on the stock market reactions is enhanced / moderated by the level of attention of investors; ii) individual investors’ attention is grabbed by stocks experiencing high trading volumes on the previous day; iii) high attention could result in downward pressure on stock market returns.

Suggested Citation

  • Carretta, Alessandro & Farina, Vincenzo & Graziano, Elvira Anna & Reale, Marco, 2011. "Does investor attention influence stock market activity? The case of spin-off deals," MPRA Paper 33545, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:33545
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    File URL: https://mpra.ub.uni-muenchen.de/33545/1/MPRA_paper_33545.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Kearney, Colm & Liu, Sha, 2014. "Textual sentiment in finance: A survey of methods and models," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 171-185.

    More about this item

    Keywords

    Media Sentiment; Investor Attention; Internet Search; Spin-off;

    JEL classification:

    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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