Topic: The Causal Effects of Investor Attention

Speaker: Baolian Wang, Assistant Professor, Gabelli School of Business, Fordham University.

Date: December 28th (Wednesday.)

Time: 10:00-11:30am

Location: Building 4, Room 101

Language: English

Abstract:

We examine the causal effects of investor attention on asset pricing dynamics. Our empirical investigation relies on repeated natural experiments in which investor attention difference does not contain any information related to stock fundamentals, nor is a rational decision of investors. We find higher investor attention causes higher return volatility, higher trading volume, higher stock liquidity, and higher short-term stock returns which largely reverse in two weeks. We also find that these are due to higher noise trader participation after the attention grabbing events, as evidenced by positive order imbalance for small orders, increased return comovement with small stocks, and decreased price efficiency.

About the speaker:

Baolian Wang is an assistant professor in Finance from the Gabelli School of Business, Fordham University. He joined Fordham in 2014 after graduating from the PhD program in Hong Kong University of Science and Technology. His research is mainly about empirical asset pricing and investor behavior. He is also interested in Chinese economy particularly form the culture perspective and the political economy perspective. His work has appeared at Journal of Financial Economics and Review of Financial Studies among other journals.