Working Paper
Based on internet search behavior, the author creates a novel measure of individual investor attention to financial information, such as annual reports and earnings, relative to other value-relevant information, such as price trends and products. Unlike existing proxies for retail attention, this measure is associated with stronger price reactions to earnings news.
The author finds that, when individual investor attention to financial information is high, the post-earnings announcement drift and the underreaction to earnings are weaker. However, the overreaction to accruals is stronger. The last result holds neither for sophisticated investor attention or passive attention driven by the media.
