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

  • Alessandro Carretta
  • Vincenzo Farina
  • Elvira Anna Graziano
  • Marco Reale
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

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.

Keywords

Stock Market Stock Return Trading Volume Individual Investor Stock Market Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

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

Authors and Affiliations

  • Alessandro Carretta
  • Vincenzo Farina
  • Elvira Anna Graziano
  • Marco Reale

There are no affiliations available

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