Download or read book Attention Allocation and Return Co-Movement written by Shiyang Huang and published by . This book was released on 2017 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We hypothesize that when investors' attention to financial markets decreases, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors' attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days.