Advertising, Attention, and Financial Markets

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractWe investigate the impact of product market advertising on investor attention and financial market outcomes. Using daily advertising data allows us to identify short-term effects of advertising. We measure daily investor attention based the company's number of Wikipedia page views. We show that TV and newspaper advertising positively impacts short-term investor attention. It also positively impacts turnover and liquidity, but the effects are not economically significant. Most importantly, asset prices are not influenced by advertising in the short run. These findings are different from studies using yearly advertising expenditures and suggest that attempts to temporarily inflate stock returns via short-term adjustments to advertising are ineffective.

The COVID-19 pandemic: How important is face-to-face interaction for information dissemination?

“…To proxy for retail attention, we use company Wikipedia page views (see Focke, Ruenzi, & Ungeheuer, 2020 ). 11 We use Wikipedia as our proxy for retail attention rather than Google's Search Volume Index (SVI) for two reasons.…”

“…However, the longstanding notion is that investors have limited attention ( Bernard & Thomas, 1989 ), which leads to less immediate information diffusion ( DellaVigna & Pollet, 2009 ; Hirshleifer et al, 2009 ). Recent studies show that investor attention can be influenced by product market advertising ( Focke et al, 2020 ; Lou, 2014 ), social media activity such as tweeting ( Bhagwat & Burch, 2016 ) and Facebook connectivity ( Hirshleifer et al, 2021 ), and earnings notifications ( Chapman, 2018 ).…”

“… 11 Wikipedia contains 2019 distinct publicly listed companies, generating over 450,000 page views per day ( Focke et al, 2020 ). …”

Does advertising really work?

“…Fich et al (2014) suggest that increased advertising enhances not only customer attention, but also investor attention and acquisition returns. With daily advertising data, both Focke et al (2015) and Madsen and Niessner (2019) document that advertising has a positive impact on investors' attention. Chemmanur and Yan (2019) further confirm that advertising affects stock return by attracting investors' attention to the firm's stock.…”

Ninety Years of Media Coverage and the Cross-Section of Stock Returns

“…Lou (2014) finds that advertising leads to temporarily higher price levels, consistent with an attention-driven impact-reversal pattern. Focke, Ruenzi, and Ungeheuer (2014) shed doubt on the conclusions of Grullon, Kanatas, and Weston (2004) and Lou (2014). Using a high frequency dataset of advertising, they find evidence against strong liquidity and return effects of advertising.…”