Abstract
We investigate the impact of product market advertising on investor attention and financial markets. Using daily advertising data we can identify short-term effects of advertising. We develop a new proxy for investor attention based on a company's Wikipedia page views and show that advertising has a positive impact on investor attention, but only very little impact on turnover and liquidity. Most importantly, asset prices are not influenced by advertising in the short run. These findings are different from studies using yearly advertising expenditures and suggest that attempts to temporarily inflate stock returns via short-term adjustments to advertising are ineffective.
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