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Attention Spillover in Asset Pricing by XIN CHEN; LI AN; ZHENGWEI WANG; JIANFENG YU is a Economics, Econometrics and Finance article available to read on EtoBox.

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## ABSTRACT Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.

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Author

XIN CHEN; LI AN; ZHENGWEI WANG; JIANFENG YU

Publisher

Wiley

Published

2023

Field

Economics, Econometrics and Finance (Social Sciences)