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We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously in small amounts. Intuitively, we hypothesize that a series of frequent gradual changes attracts less attention than infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent return continuation that does not reverse in the long run. Momentum decreases monotonically from 5.94% for stocks with continuous information during their formation period to –2.07% for stocks with discrete information but similar cumulative formation-period returns. Higher media coverage coincides with discrete information and mitigates the stronger momentum following continuous information.


This is a pre-copy-editing, author-produced PDF of an article accepted for publication in The Review of Financial Studies following peer review. The definitive publisher-authenticated version

Zhi Da, Umit G. Gurun, Mitch Warachka, Frog in the Pan: Continuous Information and Momentum, The Review of Financial Studies, Volume 27, Issue 7, July 2014, Pages 2171–2218

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Oxford University Press



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