This paper investigates empirically the nature of the interactions between mass media, investor attention and the stock market using data from a sample of 16 spin-off deals traded on NYSE and published between 2004 and 2010 in “Wall Street Journal”, the US’s second-largest newspaper by circulation.The results show that: i) the impact of media sentiment on the stock market reactions is enhanced / moderated by the level of attention of investors; ii) individual investors’ attention is grabbed by stocks experiencing high trading volumes on the previous day; iii) high attention could result in downward pressure on stock market returns.
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