Title: When does attention matter: The effect of investors' attention on stock market volatility during news releases
Authors: Daniele Ballinari - University of St Gallen (Switzerland) [presenting]
Francesco Audrino - University of St Gallen (Switzerland)
Fabio Sigrist - Lucerne University of Applied Sciences (Switzerland)
Abstract: Empirical and theoretical studies have shown that measures of investor attention have a positive impact on future stock market volatility and trading volume. We address an often overlooked question: Is investor attention always relevant or is its effect on volatility varying depending on the release of new information? Constructing attention measures from two online social media platforms for 360 large cap US stocks in the S\&P 500, we analyse the impact of investors' attention on future volatility in a fixed-effect panel framework. The results show that attention measures are more informative for next day's volatility when both scheduled and unscheduled news articles are released. The impact of investors' attention is even larger when articles are published after trading hours or unexpected news is released. In particular we find the largest effect during the release of unscheduled news articles about a company's fundamentals. These findings are confirmed by out-of-sample prediction results and an economic application.