Presentation date: 13:10-15:00, December 21st, 2022
Presentation room: 4F03 (Fintech and Green Finance Center)
Speaker: Tim C.C. Hung
https://sites.google.com/view/timcchung
Assistant Professor of Finance
Department of Finance
National Taiwan University
Title: Market Returns and a Tale of Two Types of Attention
Abstract:
Daily aggregate retail attention to stocks (ARA) negatively predicts the one-week-ahead market returns, whereas aggregate institutional attention (AIA) positively predicts market returns around scheduled major news announcements. Results hold out of sample with meaningful expected utility gains, and the effect of ARA is causal. Cross-sectionally, ARA's predictability is stronger for illiquid stocks, while AIA's predictability is higher for high-beta stocks. The findings suggest that attention-driven retail buying generates marketwide price pressure that quickly reverses, whereas institutional attention precedes systematic resolution of uncertainty and the accrual of risk premiums.