Working Papers

with Diego García, Alexandre Jeanneret, and Benjamin Loos

(Draft and slides by request)

Abstract: We show that who pays attention to a stock and how persistently has important implications for asset prices. Using investor-level data from RoyalFlush, a major Chinese trading platform, we introduce a novel measure of retail investor attention based on the fraction of users who repeatedly monitor the same stock on consecutive days. Stocks attracting higher repeated attention experience substantially larger short-term price surges followed by stronger reversals, compared with stocks receiving similar overall attention from different investors. Attention repetition also predicts lower subsequent daily returns at both the firm and industry levels. These findings support a behavioral reinforcement mechanism rather than rational learning, highlighting that the way investors pay attention, rather than its intensity, plays a central role in short-term market inefficiencies.

Presentations: SBFC (Sydney, 2025); FIRN UQ Asset Management Meeting (Brisbane, 2025)