Essays in finance: spillovers, heterogeneity, and market consequences of investor attention

Abstract

This dissertation presents three empirical studies on investor attention, using EDGAR log files as a proxy for institutional attention. Paper I shows that an attention shock at one firm spills over to geographically close and economically similar firms. Paper II shows that these spillovers are heterogeneous by filing type. Insider filings generate the strongest spillovers, regular filings transmit mainly to economically similar firms, and event-driven filings generate broad spillovers driven by discretionary content. Paper III shows that appointments of women generate a weaker attention response than comparable appointments of men, a gap that reverses for executive positions, and that attention acts not as a uniform amplifier but as an asymmetric moderator of the market reaction. Together, the dissertation shows that investor attention is a dynamic and unevenly distributed resource, shaping how attention travels between firms and how corporate events are processed by the market.