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Journal articles (2020), Economic Modelling, 87, pp. 92-108

Limited Attention, Salience of Information and Stock Market Activity

RAMOS Sofia , LATOEIRO Pedro, VEIGA Helena

It is now widely recognized in the literature that individuals have limited attention and that salient information plays a key role in individuals choices. We analyze the salience of two sources of information for investors: firm-specific and market. Salient information on firm and market levels is captured by 52-week highs and low indicators while investor attention is filtered by Google web searches. Results show that web searches is a predictor of volume, volatility and returns, and the effects are stronger when using market information. Our findings help to better understand the sources of information that lead individuals in making investment decisions. Link to the article

RAMOS, S., LATOEIRO, P. and VEIGA, H. (2020). Limited Attention, Salience of Information and Stock Market Activity. Economic Modelling, 87, pp. 92-108.