Attention, Distraction, and the Speed of Information Transmission

Attention to the most common firm disclosures, measured as the number of IP addresses accessing them on the SEC's servers, accelerates price discovery. Conversely, attention toward other concurrent filings has the opposite effect. By examining the submenu of reports that each IP address decides to read, we find that the explanatory power of attention to other filings---even while controlling for direct attention---is due to investors still needing to allocate their limited cognitive capacity within their chosen submenus. Our results provide novel evidence for this two-step information acquisition process and suggest that attention does not necessarily imply information production.