Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.

中文翻译：

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资产定价中的注意力溢出

利用屏幕显示功能，股票显示的顺序由股票的上市代码决定，我们利用一种新颖的识别策略，研究过度自信和有限注意力之间的相互作用如何影响资产定价。我们发现，过去两周回报率较高的股票旁边显示的股票与未来一周的较高回报率相关，从长远来看，回报率会恢复。这与我们的猜想一致，即投资者在获得积极的投资经验后倾向于进行更多交易，并且更有可能关注邻近股票，这都通过交易数据得到证实。