Investor Attention on the Social Web

We study investor attention through practitioners' tweeting behaviors. We develop formalisms of "cognitive niches," heuristics from adaptive cognitive control, to account for the selectivity of investor attention. Using asset-specific tweets as direct measures of investor attention, we find evidence supporting contextual cognitive control, depending on asset types, investors' experience and investing approaches. We quantify attention contagion arising from the "social proof" heuristic, whereby the drawing power of the crowd in directing investor attention exceeds that of firm fundamentals. Finally, we demonstrate that different natures of investor attention (active or passive) reveals distinct patterns of trading volume, returns and volatility.