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Asset Pricing, Real Estate and Public Finance over the Crisis pp 7–24Cite as

Palgrave Macmillan

Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals

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Abstract

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.

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Authors
  1. Alessandro Carretta
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  2. Vincenzo Farina
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  3. Elvira Anna Graziano
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  4. Marco Reale
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Editor information

Editors and Affiliations

  1. University of Rome ‘Tor Vergata’, Italy

    Alessandro Carretta (Full professor of Financial Markets and Institutions and Director, PhD programme in Banking and Finance) & Gianluca Mattarocci (Lecturer of Financial Markets and Institutions) (Full professor of Financial Markets and Institutions and Director, PhD programme in Banking and Finance) &  (Lecturer of Financial Markets and Institutions)

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© 2013 Alessandro Carretta, Vincenzo Farina, Elvira Anna Graziano and Marco Reale

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Carretta, A., Farina, V., Graziano, E.A., Reale, M. (2013). Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals. In: Carretta, A., Mattarocci, G. (eds) Asset Pricing, Real Estate and Public Finance over the Crisis. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9781137293770_2

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