A Systematic Review of Investor Attention: Measurements, Implications, and Future Directions

Investor attention refers to the limited attention that investors can devote to the information which might affect their investment decisions. Given attention is a scarce cognitive resource and individuals have limited capacity to process information, existing studies have shown that the allocation of attention, which is caused by the attention-grabbing events, has impacts on financial market dynamics accordingly. These attention-grabbing (or “stimuli”) events have also been adopted as indirect proxies to measure investor attention in early studies. This study contributes to the literature on investor attention in explaining why and how investor attention matters, especially to investor behaviours and financial market dynamics. It also reviews the measurements of investor attention used in current literature as well as the corresponding limitations. Based on a systematic review of the existing literature, this paper envisages potential future directions for investor attention with a more comprehensive understanding of current studies.