Does the attention-grabbing mechanism work on Sundays? Influence of social and religious factors on investors' attention

Purpose: This paper focuses on the influence of social, cultural and religious factors on investors' attention. In particular, the authors examined if the attention-grabbing mechanism works on Sundays, that is, if the Italians' Sunday activities and habits lead to a lower attention to second-hand financial news, compared to Saturdays. Design/methodology/approach: The authors analyzed the market reaction to equivalent stale events published on the Saturday and Sunday editions of an Italian financial newspaper and conducted a standard event study on abnormal returns and abnormal volumes for Saturday and Sunday columns and a multivariate analysis on abnormal returns for columns reporting positive recommendations. As a robustness check, the authors performed a sentiment analysis of the columns and included this variable in the regression analysis, but sentiment proved to be not significant in the final model. Findings: The study’s results confirmed that the attention-grabbing mechanism directed buying decisions, while had no influence on selling decisions. Furthermore, event study and multivariate analysis showed a significant lower market reaction to Sunday columns, supporting the study hypothesis of a Sunday investors' inattention which can be traced to cultural and/or religious factors since Sunday in Italy is a day devoted to family, entertainment and religious rituals. Practical implications: The lower investors' attention on Sundays and the related influence of social, cultural and religious factors have implications for the timing of both corporate communications and financial advertising. Originality/value: The authors’ paper provides an original contribution, on the empirical ground, to the attention-grabbing theory and to the growing theoretical literature in microeconomics that models attention.