Attention Spillover in Asset Pricing |
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| Authors: | XIN CHEN LI AN ZHENGWEI WANG JIANFENG YU |
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| Institution: | 1. Correspondence: Li An, PBC School of Finance, Tsinghua University, Beijing, China;2. e-mail: anl@pbcsf.tsinghua.edu.cn.;3. Xin Chen is at Shenzhen Audencia Financial Technology Institute, Shenzhen University. Li An, Zhengwei Wang, and Jianfeng Yu are at PBC School of Finance, Tsinghua University. We thank Zhi Da, Zhenyu Gao, Xiaomeng Lu, Lin Peng, and seminar participants at Tsinghua University PBCSF, Central University of Finance and Economics, University of International Business and Economics, Southwestern University of Finance and Economics, China Financial Research Conference, ABFER annual conference, and Financial Intermediation Research Society conference for helpful comments. All errors are our own. We have read The Journal of Finance disclosure policy and have no conflicts of interest to disclose. X. Chen acknowledges financial support from high-level talents program of Shenzhen University. L. An acknowledges financial support from the National Natural Science Foundation of China [Grants 72322004 and 71903106]. J. Yu acknowledges financial support from the National Natural Science Foundation of China [Grants 72141304]. |
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| 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. |
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