Advertising, Attention, and Stock Returns
Abstract
This paper studies the effect of advertising on stock returns both in the short run and in the long run. We find that a greater amount of advertising is associated with a larger stock return in the advertising year but a smaller stock return in the year subsequent to the advertising year, even after we control for other price predictors, such as size, book-to-market, and momentum. We conjecture that this advertising effect on stock returns is...
Paper Details
Title
Advertising, Attention, and Stock Returns
Published Date
Jan 1, 2009
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