All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors

ArXiv ID: ssrn-460660 “View on arXiv”

Authors: Unknown

Abstract

We test and confirm the hypothesis that individual investors are net buyers of attention-grabbing stocks, e.g., stocks in the news, stocks experiencing high abn

Keywords: Investor attention, Behavioral finance, Market microstructure, Trading behavior, Information asymmetry, Equities

Complexity vs Empirical Score

• Math Complexity: 2.5/10
• Empirical Rigor: 9.0/10
• Quadrant: Street Traders
• Why: The paper uses basic statistical comparisons (t-tests, regressions) but focuses heavily on real-world brokerage data analysis, multiple attention proxies, and robustness checks, making it highly empirical and implementable for trading strategies.

  flowchart TD
    A["Research Goal:<br/>Does investor attention drive buying<br/>behavior, especially for individuals?"] --> B["Data & Inputs"]
    B --> C["Methodology"]
    C --> D["Computational Processes"]
    D --> E["Key Findings/Outcomes"]

    B --> B1["Daily Stock & Trading Data<br/>e.g., CRSP/TAQ"]
    B --> B2["Attention Proxies<br/>News mentions & Abnormal volume"]
    B --> B3["Investor Classification<br/>Individual vs. Institutional"]

    C --> C1["Event Study Design<br/>Focus on high-attention days"]
    C --> C2["Regression Analysis<br/>Trading volume vs. attention"]

    D --> D1["Net Buy Calculation<br/>Aggregate flows by investor type"]
    D --> D2["Control for Fundamentals<br/>Liquidity, Returns, Volatility"]

    E --> F1["Confirmation: Individuals<br/>buy high-attention stocks"]
    E --> F2["Institutional Behavior<br/>Contrast or indifference"]
    E --> F3["Implication<br/>Attention-driven anomalies"]