additionally capable of identifying time-varying comovement patterns. By applying this concept to excess returns of the monthly S …

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market … significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not … fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational …

We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel … proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This …