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Cited by 567

The DOI matches its Crossref record; 90 of the 90 references it cites were found in a registry or an index.

Investor Attention and Stock Market Volatility

Open access
Andrei, Daniel, Hasler, Michael·2015·Review of Financial Studies
DOI 10.1093/rfs/hhu059
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Abstract

We investigate in a theoretical framework the joint role played by investors’ attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the data lend support to the increasing relationship. The evidence for a quadratic relationship is mixed. Overall, our study shows theoretically and empirically that both attention and uncertainty are key determinants of asset prices.

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Crossref · 10.1093/rfs/hhu059

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Metadata

Authors
Andrei, D., & Hasler, M.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2014-09-09
Volume
28
Issue
1
Pages
33-72
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhu059
OpenAlex
W2103650532
Cited by
567
References
90
FWCI
32.66
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Investor Attention and Stock Market Volatility. https://app.cochat.ai/papers/10.1093/rfs/hhu059
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Andrei, D., & Hasler, M. (2015). Investor Attention and Stock Market Volatility. Review of Financial Studies. https://doi.org/10.1093/rfs/hhu059

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.