活動起日：2016-12-14 發佈日期：2016-12-14 瀏覽數：714 2017-02-12 更新
本系擬於 12/19 (一) 邀請香港大學的林則君教授至本所進行專題演講，相關訊息如下：
時間: 12/19 (一) 10:30-12:00
講題: Attention Allocation and Return Co-Movement: Evidence from Repeated Natural Experiments
We study how attention allocation affects the composition of market/industry and firm-specific information in stock prices via repeated natural experiments. Using large jackpots of Taiwanese nationwide lotteries as exogenous shocks to investors’ attention, we find: (1) individual stock returns co-move more with the market/industry returns on large jackpot days; (2) large jackpots have stronger effects on stock returns’ co-movement with the market than with the industry; (3) the effect of large jackpots on return co-movement is stronger for stocks preferred by retail investors; (4) the market under-reacts to firms’ earnings announcements on large jackpot days; and (5) large jackpot days are associated with high (low) Google searches for lotteries (firms). Our findings are consistent with the theory that attention-constrained investors rationally allocate more attention to market-level information than to sector-level information, and more attention to sectorlevel information than to firm-specific information.