REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx031·Published: 17 May 2017

这取决于你在哪里搜索：机构投资者对新闻的关注和反应不足

作者：Azi Ben-Rephael (Kelley School of Business, Indiana University), Zhi Da (Mendoza College of Business, University of Notre Dame), Ryan D. Israelsen (Kelley School of Business, Indiana University)

摘要：我们使用彭博终端上对特定股票的新闻搜索和新闻阅读行为，构建了一个直接衡量机构投资者异常关注（AIA）的指标。AIA与机构交易措施高度相关，与其他不同的投资者关注代理指标相关。将AIA与用谷歌搜索行为构建的个人投资者关注相比，我们发现机构的关注对主要新闻事件的反应更为迅速，从而引导了个人进行关注，并促进了永久的价格调整。已有的由盈余公告和分析师推荐变动引起的股价漂移，都是由于机构投资者未能充分关注这些公告。

It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

Azi Ben-Rephael (Kelley School of Business, Indiana University), Zhi Da (Mendoza College of Business, University of Notre Dame), Ryan D. Israelsen (Kelley School of Business, Indiana University)

ABSTRACT

We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx031/3830159/It-Depends-on-Where-You-Search-Institutional?redirectedFrom=fulltext

翻译：何杉