Is Investor Attention for Sale? The Role of Advertising in Financial Markets
J O S H U A M A D S E N∗ AND M A R I N A N I E S S N E R†
Received 20 February 2018; accepted 7 January 2019

ABSTRACT
Prior research documents capital market benefits of increased investor attention
to accounting disclosures and media coverage; however, little is known
about how investors and markets respond to attention-grabbing events that
reveal little nonpublic information. We use daily firm advertising data to
test how advertisements, which are designed to attract consumers’ attention,
influence investors’ attention and financial markets (i.e., spillover effects).
Exploiting the fact that firms often advertise at weekly intervals, we use an
instrumental variables approach to provide evidence that print ads, especially
in business publications, trigger temporary spikes in investor attention. We
further find that trading volume and quoted dollar depths increase on days
with ads in a business publication. We contribute to research on how management
choices influence firms’ information environments, determinants
and consequences of investor attention, and consequences of advertising for
financial markets.