ABSTRACT Using data on Internet news reading, we measure fund‐level attention to both aggregate and firm‐specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility. Those funds that exhibit stronger attention‐reallocation patterns earn higher future returns. In the cross‐section of fund portfolios, fund attention is positively related to stock holdings. Furthermore, fund attention to a stock increases the value‐add of that position to the fund's performance. This relationship is stronger using fund attention to more value‐relevant news articles.
Building similarity graph...
Analyzing shared references across papers
Loading...
ALAN KWAN
YUKUN LIU
Yukun Liu
The Journal of Finance
University of Hong Kong
Iman University
Building similarity graph...
Analyzing shared references across papers
Loading...
KWAN et al. (Fri,) studied this question.
synapsesocial.com/papers/696c7791eb60fb80d1395c4e — DOI: https://doi.org/10.1111/jofi.70009