impact of writing style is modest; on the other, it is surprising that the writing style of the
writer of a single newspaper column about yesterday’s market activity has any measurable
impact. Presumably this effect operates through investor beliefs.
A recent study by
Schmidt (2013) suggests that the attention channel is also important.
He uses Google searches for international sporting events to test
Peng and Xiong’s (2006)
theory in which distracted investors prioritize market news over firm-specific news.
10
He
shows that a standardized increase in investor attention to sports—implying inattention to
stocks—reduces dispersion in firms’ stock prices by 13%. In addition, investor attention
to sports reduces market volatility by 8% and trading activity ...