Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic

We find that the COVID-19 pandemic increases (decreases) stock return sensitivity to market-wide (firm-specific) news, which is associated with return reversals (delayed reactions). These results are consistent with limited investor attention and investors paying heightened (reduced) attention to ma...

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Detalles Bibliográficos
Autores principales: Xu, Liao, Zhang, Xuan, Zhao, Jing
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9187315/
http://dx.doi.org/10.1016/j.finmar.2022.100757
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author Xu, Liao
Zhang, Xuan
Zhao, Jing
author_facet Xu, Liao
Zhang, Xuan
Zhao, Jing
author_sort Xu, Liao
collection PubMed
description We find that the COVID-19 pandemic increases (decreases) stock return sensitivity to market-wide (firm-specific) news, which is associated with return reversals (delayed reactions). These results are consistent with limited investor attention and investors paying heightened (reduced) attention to macro (micro) information after the outbreak. There are more biased reactions when the epidemic spread is higher, to good news than bad news, for firms headquartered in pandemic epicenters, and for larger stocks. We also find higher (lower) imbalanced trading, information flow, and price efficiency associated with market-wide (firm-specific) news during the pandemic.
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spelling pubmed-91873152022-06-13 Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic Xu, Liao Zhang, Xuan Zhao, Jing Journal of Financial Markets Article We find that the COVID-19 pandemic increases (decreases) stock return sensitivity to market-wide (firm-specific) news, which is associated with return reversals (delayed reactions). These results are consistent with limited investor attention and investors paying heightened (reduced) attention to macro (micro) information after the outbreak. There are more biased reactions when the epidemic spread is higher, to good news than bad news, for firms headquartered in pandemic epicenters, and for larger stocks. We also find higher (lower) imbalanced trading, information flow, and price efficiency associated with market-wide (firm-specific) news during the pandemic. Elsevier B.V. 2023-01 2022-06-10 /pmc/articles/PMC9187315/ http://dx.doi.org/10.1016/j.finmar.2022.100757 Text en © 2022 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Xu, Liao
Zhang, Xuan
Zhao, Jing
Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic
title Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic
title_full Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic
title_fullStr Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic
title_full_unstemmed Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic
title_short Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic
title_sort limited investor attention and biased reactions to information: evidence from the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9187315/
http://dx.doi.org/10.1016/j.finmar.2022.100757
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