Investors pay attention to stocks when interesting, value-relevant events occur at firms, making it difficult to separate the effect of attention on equity prices from the effect of underlying events on prices. To identify the direct effect of investor attention, I study events that place millions of Americans’ attention on firms for reasons unrelated to fundamentals. For events drawing the most attention, I find cumulative abnormal returns of 1.51% in days 1-5, with a reversal of 1.09% the following week. These stocks experience abnormal turnover, individual investors are net buyers, and institutional investors drive the reversal towards fundamental values.

中文翻译：

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广告、投资者关注和股价：来自自然实验的证据

当公司发生有趣的、与价值相关的事件时，投资者会关注股票，因此很难将注意力对股票价格的影响与相关事件对价格的影响区分开来。为了确定投资者关注的直接影响，我研究了数百万美国人出于与基本面无关的原因而关注公司的事件。对于最受关注的事件，我发现第 1-5 天的累积异常回报为 1.51%，下周逆转为 1.09%。这些股票出现异常成交量，个人投资者是净买家，机构投资者推动基本价值逆转。