Glued to the TV: Distracted Noise Traders and Stock Market Liquidity
In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on "distraction days," trading activity, liquidity, and volatility dec...
Gespeichert in:
| Veröffentlicht in: | The Journal of finance (New York) 2020-04, Vol.75 (2), p.1083-1133 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1133 |
|---|---|
| container_issue | 2 |
| container_start_page | 1083 |
| container_title | The Journal of finance (New York) |
| container_volume | 75 |
| creator | PERESS, JOEL SCHMIDT, DANIEL |
| description | In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on "distraction days," trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes. |
| doi_str_mv | 10.1111/jofi.12863 |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_journals_2374137505</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>45286264</jstor_id><sourcerecordid>45286264</sourcerecordid><originalsourceid>FETCH-LOGICAL-c3643-c868b2debbff5b1a4bd3b35ed96a968df7864113d05c059fd86dc006a168d2503</originalsourceid><addsrcrecordid>eNp9kE9LAzEQxYMoWKsXP0FAvAhb82eT3XqT1lal2oPVa8huEsy2Nm2SRfrtTV0FT85l4M3vzTAPgHOMBjjVdeOMHWBScnoAepjlKOOE40PQQ4iQDKOSHIOTEBq0L8Z6YDxdtVrB6GB813DxdgPHNkQv65jUZ2dDEr1U2gco1wq-RFcv4ZP0Sx3hzG5bq2zcnYIjI1dBn_30Pnid3C1G99lsPn0Y3c6ymvKcZnXJy4ooXVXGsArLvFK0okyrIZdDXipTlDzHmCrEasSGRpVc1QhxidOQMET74KLbu_Fu2-oQReNav04nBaFFjmnBEEvUVUfV3oXgtREbbz-k3wmMxD4lsU9JfKeUYNzBn3ald_-Q4nE-efj1XHaeJkTn_3oIRYXIWaJIevgLXIFz_A</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2374137505</pqid></control><display><type>article</type><title>Glued to the TV: Distracted Noise Traders and Stock Market Liquidity</title><source>Jstor Complete Legacy</source><source>Wiley Online Library Journals Frontfile Complete</source><creator>PERESS, JOEL ; SCHMIDT, DANIEL</creator><creatorcontrib>PERESS, JOEL ; SCHMIDT, DANIEL</creatorcontrib><description>In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on "distraction days," trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/jofi.12863</identifier><language>eng</language><publisher>Cambridge: Wiley Periodicals, Inc</publisher><subject>Attention deficits ; Distraction ; Hypotheses ; Liquidity ; News ; Noise ; Prices ; Securities markets ; Securities trading ; Trading</subject><ispartof>The Journal of finance (New York), 2020-04, Vol.75 (2), p.1083-1133</ispartof><rights>2020 the American Finance Association</rights><rights>2019 the American Finance Association</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c3643-c868b2debbff5b1a4bd3b35ed96a968df7864113d05c059fd86dc006a168d2503</citedby><cites>FETCH-LOGICAL-c3643-c868b2debbff5b1a4bd3b35ed96a968df7864113d05c059fd86dc006a168d2503</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/45286264$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/45286264$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,776,780,799,1411,27901,27902,45550,45551,57992,58225</link.rule.ids></links><search><creatorcontrib>PERESS, JOEL</creatorcontrib><creatorcontrib>SCHMIDT, DANIEL</creatorcontrib><title>Glued to the TV: Distracted Noise Traders and Stock Market Liquidity</title><title>The Journal of finance (New York)</title><description>In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on "distraction days," trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes.</description><subject>Attention deficits</subject><subject>Distraction</subject><subject>Hypotheses</subject><subject>Liquidity</subject><subject>News</subject><subject>Noise</subject><subject>Prices</subject><subject>Securities markets</subject><subject>Securities trading</subject><subject>Trading</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2020</creationdate><recordtype>article</recordtype><recordid>eNp9kE9LAzEQxYMoWKsXP0FAvAhb82eT3XqT1lal2oPVa8huEsy2Nm2SRfrtTV0FT85l4M3vzTAPgHOMBjjVdeOMHWBScnoAepjlKOOE40PQQ4iQDKOSHIOTEBq0L8Z6YDxdtVrB6GB813DxdgPHNkQv65jUZ2dDEr1U2gco1wq-RFcv4ZP0Sx3hzG5bq2zcnYIjI1dBn_30Pnid3C1G99lsPn0Y3c6ymvKcZnXJy4ooXVXGsArLvFK0okyrIZdDXipTlDzHmCrEasSGRpVc1QhxidOQMET74KLbu_Fu2-oQReNav04nBaFFjmnBEEvUVUfV3oXgtREbbz-k3wmMxD4lsU9JfKeUYNzBn3ald_-Q4nE-efj1XHaeJkTn_3oIRYXIWaJIevgLXIFz_A</recordid><startdate>20200401</startdate><enddate>20200401</enddate><creator>PERESS, JOEL</creator><creator>SCHMIDT, DANIEL</creator><general>Wiley Periodicals, Inc</general><general>Blackwell Publishers Inc</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20200401</creationdate><title>Glued to the TV: Distracted Noise Traders and Stock Market Liquidity</title><author>PERESS, JOEL ; SCHMIDT, DANIEL</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3643-c868b2debbff5b1a4bd3b35ed96a968df7864113d05c059fd86dc006a168d2503</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2020</creationdate><topic>Attention deficits</topic><topic>Distraction</topic><topic>Hypotheses</topic><topic>Liquidity</topic><topic>News</topic><topic>Noise</topic><topic>Prices</topic><topic>Securities markets</topic><topic>Securities trading</topic><topic>Trading</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>PERESS, JOEL</creatorcontrib><creatorcontrib>SCHMIDT, DANIEL</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>PERESS, JOEL</au><au>SCHMIDT, DANIEL</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Glued to the TV: Distracted Noise Traders and Stock Market Liquidity</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2020-04-01</date><risdate>2020</risdate><volume>75</volume><issue>2</issue><spage>1083</spage><epage>1133</epage><pages>1083-1133</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><abstract>In this paper, we study the impact of noise traders' limited attention on financial markets. Specifically, we exploit episodes of sensational news (exogenous to the market) that distract noise traders. We find that on "distraction days," trading activity, liquidity, and volatility decrease, and prices reverse less among stocks owned predominantly by noise traders. These outcomes contrast sharply with those due to the inattention of informed speculators and market makers, and are consistent with noise traders mitigating adverse selection risk. We discuss the evolution of these outcomes over time and the role of technological changes.</abstract><cop>Cambridge</cop><pub>Wiley Periodicals, Inc</pub><doi>10.1111/jofi.12863</doi><tpages>51</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2020-04, Vol.75 (2), p.1083-1133 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_journals_2374137505 |
| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Attention deficits Distraction Hypotheses Liquidity News Noise Prices Securities markets Securities trading Trading |
| title | Glued to the TV: Distracted Noise Traders and Stock Market Liquidity |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-21T15%3A50%3A15IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Glued%20to%20the%20TV:%20Distracted%20Noise%20Traders%20and%20Stock%20Market%20Liquidity&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=PERESS,%20JOEL&rft.date=2020-04-01&rft.volume=75&rft.issue=2&rft.spage=1083&rft.epage=1133&rft.pages=1083-1133&rft.issn=0022-1082&rft.eissn=1540-6261&rft_id=info:doi/10.1111/jofi.12863&rft_dat=%3Cjstor_proqu%3E45286264%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2374137505&rft_id=info:pmid/&rft_jstor_id=45286264&rfr_iscdi=true |