Does the attention-grabbing mechanism work on Sundays? Influence of social and religious factors on investors' attention

This paper focuses on the influence of social, cultural and religious factors on investors' attention. In particular, the authors examined if the attention-grabbing mechanism works on Sundays, that is, if the Italians' Sunday activities and habits lead to a lower attention to second-hand financial news, compared to Saturdays.

The authors analyzed the market reaction to equivalent stale events published on the Saturday and Sunday editions of an Italian financial newspaper and conducted a standard event study on abnormal returns and abnormal volumes for Saturday and Sunday columns and a multivariate analysis on abnormal returns for columns reporting positive recommendations. As a robustness check, the authors performed a sentiment analysis of the columns and included this variable in the regression analysis, but sentiment proved to be not significant in the final model.

The study’s results confirmed that the attention-grabbing mechanism directed buying decisions, while had no influence on selling decisions. Furthermore, event study and multivariate analysis showed a significant lower market reaction to Sunday columns, supporting the study hypothesis of a Sunday investors' inattention which can be traced to cultural and/or religious factors since Sunday in Italy is a day devoted to family, entertainment and religious rituals.

The lower investors' attention on Sundays and the related influence of social, cultural and religious factors have implications for the timing of both corporate communications and financial advertising.

The authors’ paper provides an original contribution, on the empirical ground, to the attention-grabbing theory and to the growing theoretical literature in microeconomics that models attention.