Retail Attention, Institutional Attention

67 Pages Posted: 6 May 2019 Last revised: 6 Dec 2021

See all articles by Hongqi Liu

Hongqi Liu

Chinese University of Hong Kong, Shenzhen

Lin Peng

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Yi Tang

Fordham University - Gabelli School of Business

Date Written: April 12, 2019

Abstract

We document distinctly different clientele effects in investor attention and return responses to information. Macro news crowds out retail investor attention to firms’ earnings news by 49%. For stocks with high retail ownership, macro news dampens earnings announcement returns by 17% and substantially increases post-announcement drift, especially during high VIX periods. In contrast, macro news increases institutional investor attention to scheduled earnings announcements but not their attention to unscheduled analysts’ forecast revisions. The findings confirm the implications of rational inattention models and highlight the importance of considering clientele effects in understanding the effect of news on attention and asset prices.

Keywords: Attention, retail investors, institutional investors, crowding-out effect, earnings announcements, analyst forecast revisions

JEL Classification: G10, G11, G12, G14

Suggested Citation

Liu, Hongqi and Peng, Lin and Tang, Yi, Retail Attention, Institutional Attention (April 12, 2019). Baruch College Zicklin School of Business Research Paper No. 2019-05-03, Available at SSRN: https://ssrn.com/abstract=3370683 or http://dx.doi.org/10.2139/ssrn.3370683

Hongqi Liu

Chinese University of Hong Kong, Shenzhen ( email )

Lin Peng (Contact Author)

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )

17 Lexington Avenue
New York, NY 10010
United States

Yi Tang

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
New York, NY 10023
United States

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