The Comovement of Investor Attention

Prior literature has documented that investor attention is associated with the pricing of stocks. We examine attention comovement, the extent to which investor attention for a firm is affected by attention paid to the industry and market in general. We find that attention comovement is positively related to comovement in firm fundamentals, and is also related to firm characteristics, such as size and visibility. We also find that the comovement of investor attention has market consequences: attention comovement is positively associated with excess stock return and trading volume comovement. Finally, we show that a prominent information release (a firm’s earnings announcement) contributes to attention comovement. Our results aid in understanding the industry and market-wide nature of investor attention and its market consequences. We thank Mary Barth (editor), an anonymous associate editor, two anonymous referees, Richard Willis, and workshop participants at Vanderbilt University for helpful comments and suggestions. We thank Yung-Yu Chen for assistance in acquiring Google search data and Nick Guest for research assistance. The financial support of the Fisher College of Business, Foster School of Business, Olin Business School, and the Marriott School of Management is gratefully acknowledged.

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