Finance Brown Bag Seminar（2016-05）

Topic: The Causal Effects of Investor Attention

Speaker: Baolian Wang, Fordham University

Time: Friday, 30 December, 11:30-13:00

Place: Room 217, Guanghua Building 2

Abstract:

We examine the causal effects of investor attention on asset pricing dynamics. Our empirical investigation relies on repeated natural experiments in which investor attention difference does not contain any information related to stock fundamentals, nor is a rational decision of investors. We find higher investor attention causes higher return volatility, higher trading volume, higher stock liquidity, and higher short-term stock returns which largely reverse in two weeks. We also find that these are due to higher noise trader participation after the attention grabbing events, as evidenced by positive order imbalance for small orders, increased return comovement with small stocks, and decreased price efficiency.

Introduction:

Baolian Wang joined the Gabelli School of Business as an assistant professor of finance after receiving his PhD in finance from Hong Kong University of Science and Technology. He is mainly interested in empirical asset pricing, empirical corporate finance, investor behavior and international finance. He is also interested in examining how culture affects corporate behavior. His work has been presented at many prestigious conferences, including the American Finance Association, Miami Behavioral Finance Conference, Asian Bureau of Finance and Economic Research, Financial Intermediation Research Society, European Finance Association, China International Conference in Finance and many others.

//www.fordham.edu/info/22941/full-time_faculty/4946/baolian_wang

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