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Distraction and Stock Return Synchronicity: Evidence from the Field
We study how fluctuations in investor attention affect stock return synchronicity. For a sample of 734 stocks from 19 countries, we document that synchronicity increases when international soccer matches distract investors, suggesting that investors pay less attention to firm-specific news. Next, we show that synchronicity increases even more as matches become more important and when the national team is (closely) trailing rather than when it is leading during a match. These results are in line with Kahneman’s (1973) capacity model of attention, with loss aversion and with a role for suspense and underscore how fluctuations in investor attention affect price formation.
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