Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/229026 
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2412
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the three editions of the FIFA World Cup between 2010 and 2018. Using intraday data for more than 750 firms in 19 countries, we find that distracted investors shift attention away from firm-specific and from global news. When movements in global stock markets are large, the pricing of global news reverts back to normal, but firmspecific news keep being priced less, leading to increased comovement of stock returns with the national stock market. This increase is economically large, and particularly strong for those stocks that typically comove little with the national market, thereby leading to a convergence in betas across stocks.
Subjects: 
investor attention
stock returns
comovement
ECB
JEL: 
G12
G15
G41
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4055-9
Document Type: 
Working Paper

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