主题：Catching Fire: the Diffusion of Retail Attention on Twitter
主讲人： Assistant Prof. Zhi Da, University of Notre Dame
主持人：金融学院副院长 周铭山
时 间：2015年7月2日（周四）上午10:00-12:00
地 点：格致楼411会议室
主办单位：金融学院、科研处
主讲人简介：
Zhi Da就职于美国圣母大学，担任金融系的副教授。他博士毕业于美国西北大学，专业方向为金融学。 Zhi Da曾经在Journal of Financial and Quantitative Analysis ，Management Science ， Review of Financial Studies等著名杂志上发表过文章，多次获得专业领域奖项与荣誉。
讲座内容：
Increasingly, investor attention is triggered by communication on a social network. We track the diffusion of retail attention on a specific news in real time by monitoring how the news is retweeted on Twitter. Using a unique brokerage account data from a major online brokerage firm in the U.S., we find the diffusion of retail attention to be highly correlated with intraday retail trading pattern, especially among investors with large stock holdings. The resulting retail attention leads to lower bid-ask spread and positive price pressure on the news day that is completely reverted the next day. The amount of retail attention the news generates on Twitter can be predicted using characteristics of the users, accounts and tweets. The fact that predicted retail attention generates similar results helps to alleviate concerns about reversed causality and endogeneity.
