Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals
One of the most important research streams in finance is to understand the determinants of stock market dynamics. According to the theory of efficient financial markets (Fama, 1970), stock prices should reflect all available information. However, the evidence of an autocorrelation of stock returns at short horizons (Jegadeesh and Titman, 1993; Moskowitz and Grinblatt, 1999; Hong et al., 2007) suggests that that stock prices do not fully adjust to new information.
KeywordsStock Market Stock Return Trading Volume Individual Investor Stock Market Return
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