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Go Boldly Where Institutional Investors Are – Measuring Institutional Investor Attention

How do you measure institutional investor attention? Aggregate attention is easier to capture. You can look at trading volume (which reflects the transactions of all investors) as an indirect measure. You can look at front-page articles in influential newspaper as… Continue Reading →

The Virtuous Circle of Investor Attention in Social Media

In previous posts, we discussed how media and firms can succefully draw investor attention. In this post, we shift the focus to investors themselves. The 2016 Journal of Behavioral Finance paper “Investor Attention on the Social Web” by Li, Hendler,… Continue Reading →

How Financial Markets Incorporate News – A Case Study of the Grenfell Tower Disaster Using Regression Discontinuity

On June 14, 2017, a fridge-freezer on the 4th floor of the Grenfell Tower block in London caught fire. The fire quickly spread, causing a horrible loss of at least 80 lives and injuring more than 70 people. Firefighters quickly… Continue Reading →

Giving It Straight to Investors – Information Dissemination via Social Media Improves Stock Liquidity

In a previous post, we discussed an article than analyzes the impact of TV news on stock prices. Today, we consider a different form of information dissemination: Direct-Access Information Technology (DAIT) such as press releases through Twitter, RSS feeds, e-mail,… Continue Reading →

The Price Impact of TV News – A Study of Stock Market Efficiency

Can television news affect stock prices? And does the price impact of tv news depend on who presents the news? Both of these effects would contradict the Efficient Market Hypothesis (EMH). Put simply, the EMH states that security prices immediately… Continue Reading →

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