Demographics and Industry Returns

DellaVigna, Stefano; Pollet, Joshua Matthew

doi:10.1257/aer.97.5.1667

Cited by 243 publications

(133 citation statements)

References 30 publications

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“…The LEI release is at 10:00 throughout the sample, and we focus on the 9:30 to 10:30 interval. 9 Andersen et al (2007) note that looking at five-minute futures returns strikes a good balance between capturing fundamental dynamics operating at high-frequencies and minimizing the noise in returns caused by bid-ask bounce and other microstructure issues. The futures contracts on the S&P500 Index are extremely liquid, so empirically neither stale prices nor the bid-ask bounce should be important issues for our purposes.…”

Section: General Methodsologymentioning

confidence: 99%

“…Previous studies provide evidence suggesting that investors' limited attention is important for the pricing of individual securities. For example, DellaVigna and Pollet (2007) show that publicly available demographic information relating to future firm earnings is not completely impounded in stock prices. Hirshleifer, Lim, and Teoh (2007) suggest that investors do not process all the relevant information when many firms release their earnings on the same day, leading to weaker stock price reaction.…”

Section: Introductionmentioning

confidence: 99%

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Investor Inattention and the Market Impact of Summary Statistics

et al. 2012

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Investors with limited attention have an incentive to focus on summary statistics rather than individual pieces of information. We use this observation to form a test of the impact of limited attention on the aggregate stock market. We examine the market response to a macroeconomic release that is purely a summary statistic, the U.S. Leading Economic Index (LEI). Consistent with the limited attention hypothesis, we show that the LEI announcement has an impact on aggregate stock returns, return volatility, and trading volume.

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Section: General Methodsologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Investor Inattention and the Market Impact of Summary Statistics

et al. 2012

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“…Note that this issue might be responsible for the fact that the DK standard errors are in general smaller than the state-clustered ones. DellaVigna and Pollet (2007) …”

Section: Patterns Of Correlation In Errorsmentioning

confidence: 99%

Population Aging, Migration Spillovers, and the Decline in Interstate Migration

Karahan

Rhee

2014

SSRN Journal

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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 AbstractInterstate migration in the United States has declined by 50 percent since the mid-1980s. This paper studies the role of the aging population in this long-run decline. We argue that demographic changes trigger a general equilibrium effect in the labor market, which affects the migration rate of all workers. We document that an increase in the share of middle-aged workers (those ages 40 to 60) in the working-age population in one state causes a large fall in the migration rate of all workers in that state, regardless of their age. To understand this finding, we develop an equilibrium search model of many locations populated by workers whose moving costs differ. Firms prefer hiring local workers with high moving costs as they command lower wages due to their lower outside option. An increase in the share of middle-aged workers causes firms to recruit more from the local labor market instead of hiring from other locations, which increases the local job-finding rate and reduces everyone's migration rate ("migration spillovers"). Our model reproduces remarkably well several cross-sectional facts between population flows and the age structure of the labor force. Our quantitative analysis suggests that population aging accounts for about half of the observed decline, of which 75 percent is attributable to the general equilibrium effect.

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“…Peng and Xiong (2006) show that investors process more market and sector-wide information than firm-specific information, implying they are inattentive to relatively detailed information. Furthermore, DellaVigna and Pollet (2007) suggest that stock market valuations of age-sensitive sector stocks (such as toys, beer, or nursing homes) neglect (publicly available) demographic information, as investors are inattentive to information about the distant future.…”

Section: Introductionmentioning

confidence: 99%

The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches

Ehrmann

Jansen

2012

SSRN Journal

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At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key findings. First, when the national team was playing, the number of trades dropped by 45%, while volumes were 55% lower. Second, market activity was influenced by match events. For instance, a goal caused an additional drop in trading activity by 5%. The magnitude of this reduction resembles what is observed during lunchtime, and as such might not be indicative for shifts in attention. However, our third finding is that the comovement between national and global stock market returns decreased by over 20% during World Cup matches, whereas no comparable decoupling can be found during lunchtime. We conclude that stock markets were following developments on the soccer pitch rather than in the trading pit, leading to a changed price formation process. JEL codes: G12, G14, G15Keywords: investor inattention, stock markets, trading volume, high-frequency data, soccer The paper presents three key findings. First, we find strong evidence of decreased activity in stock markets during soccer matches at the 2010 World Cup. Trading activity dropped markedly, especially if the national team was one of the competitors. Compared to normal market circumstances, the median number of trades dropped by 45% if the national team was playing, while the volume dropped by around 55%. Second, we show how goals scored by either team led to an even stronger decline in the number of trades and offered quotes. Also, we find that market activity was already significantly below the benchmark right before the match started, and continued to be lower during the 45 minutes after the match had ended. Third, we show that also price formation was affected during the soccer matches, as the evolution of returns on national markets decoupled from those on global markets.Overall, there is a strong sense that stock markets were following developments on the soccer pitch rather than in the trading pit. These results provide evidence for limited attention in financial markets, which in itself affects the price formation process. Further tests show that inattention was particularly strong for relatively less salient information -there was a particularly strong decoupling of national from global markets as long as the price movements on the global market were relatively small. Furthermore, the cross-sectional dispersion of returns across the individual constituents of a country's stock market index was substantially reduced, suggesting that the distraction coming from the soccer matches led to a reduced focus on firm-specific as opposed to market and sector-wide information.3

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Demographics and Industry Returns

Cited by 243 publications

References 30 publications

Investor Inattention and the Market Impact of Summary Statistics

Investor Inattention and the Market Impact of Summary Statistics

Population Aging, Migration Spillovers, and the Decline in Interstate Migration

The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches

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