| Abstract: |
This paper tests whether fluctuations in investors' attention affect stock
return comovement with national and global markets, and which stocks are most
affected. We measure fluctuations in investor attention using 59 high-profile
soccer matches played during stock market trading hours at the three editions
of the FIFA World Cup between 2010 and 2018. Using intraday data for more than
750 firms in 19 countries, we find that distracted investors shift attention
away from firm-specific and from global news. When movements in global stock
markets are large, the pricing of global news reverts back to normal, but
firm-specific news keep being priced less, leading to increased comovement of
stock returns with the national stock market. This increase is economically
large, and particularly strong for those stocks that typically comove little
with the national market, thereby leading to a convergence in betas across
stocks. |