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...

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Veröffentlicht in:	The Journal of finance (New York) 2020-04, Vol.75 (2), p.1083-1133
Hauptverfasser:	PERESS, JOEL, SCHMIDT, DANIEL
Format:	Artikel
Sprache:	eng
Schlagworte:	Attention deficits Distraction Hypotheses Liquidity News Noise Prices Securities markets Securities trading Trading
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