Center for Advanced Management




Prof. Andreas Milidonis (University of Cyprus)


Datum: 30. Januar 2020

Zeit: 11.30 - 13.00 Uhr

Ort: Schackstraße 4, Seminarraum 314

Titel: Limited attention and institutional investors


We examine whether limited attention bias affects institutional investor trading. To proxy for institutional investor trading, we use transaction level data from the US insurance industry (2002 to 2014). To identify limited attention, we condition on the credit quality of investment targets (i.e. corporate bonds) using actions in credit quality signals (rating and outlook actions by credit rating agencies). Using the relative timeliness of rating actions in the same direction, we use the late mover rating action as a proxy for limited attention. To control for new information potentially present in a late rating action, we use a news-analytics database. Results show that institutional trading volume increases abnormally in subsamples of rating actions that do not provide any new information to the market, thus lending support to a limited attention bias by institutional investors.