Does Investor Attention Influence Stock Market Activity? The Case of Spin-Off Deals

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: the impact of media sentiment on the stock market reactions is enhanced/moderated by the level of attention of investors; individual investors' attention is grabbed by stocks experiencing high trading volumes on the previous day; high attention could result in downward pressure on stock market returns