Limited attention and investor disagreement: a nowcasting approach
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2015-04-27
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Almeida, Caio Ibsen Rodrigues de
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Resumo
When disagreement in economic models occurs due to different interpretations of public signals, the level of ``marketwide disagreement'' not necessarily decreases upon the arrival of a public signal. We propose an empirical assessment of this phenomenon. By using a measure of attention based on Google Trends, we show that an increase in the attention allocated by the market to a company is associated to a significant increase in disagreement about it.