Working Papers

with Diego García, Alexandre Jeanneret, and Benjamin Loos

(Draft and slides by request)

Abstract: When a stock retains an unusually large share of the previous day’s viewers, an attention shock is associated with a same-day return of over 112 basis points that fully reverses within forty trading days; when retention is unusually low, attention barely moves prices. We document this contrast using individual browsing records from China’s largest investment platform, which identify the same viewer across days and allow us to measure attention stickiness: the fraction of the previous day’s viewers who return today, a dimension aggregate attention proxies do not capture. The level of stickiness predicts lower future returns, cumulating to 160 basis points over forty days. In the cross-section, stocks both rarely viewed and rarely revisited earn 2.2% per month more than heavily monitored, high-stickiness stocks. The composition of retail attention, not merely its level, is a first-order predictor of short-horizon returns; the evidence is more consistent with behavioral reinforcement than with rational learning.

Presentations: Waseda Summer Workshop in Finance (Tokyo, 2026); CityUHK International Finance Conference (Hong Kong, 2026); University of North Carolina at Chapel Hill (2026); Penn State University (2026); HEC Lausanne (2026); University of Colorado (2026); SBFC (Sydney, 2025); FIRN UQ Asset Management Meeting (Brisbane, 2025)