Research by cognitive psychologists is challenging the rationality paradigm. It has started to penetrate economic modeling with a vast experimental documentation of cognitive limitations that has been accumulated so far raising the questions: Does behavioral decision models, which capture hope or expectation to risk in experimental settings, can help us comprehend investor behavior in financial markets. We try to portrait a whole picture on the attention hypothesis we have developed around pricing patterns within the innovative pharmaceuticals sector firms. We try to encompass it from several aspects: first, we lay a general psychological framework for Attention theory describing cognitive mechanisms such as the rule of selective attention in processing information in short-term. Second we explore financial aspects of selective attention, and last we explore real life investors` behavior around a major milestone within the drug development process – advisory committee milestone. Our findings based on 78 events dating for 2002-2014, a puzzling investors` behavior. We observe that higher trading is held around regulatory event in what seems like a speculative “micro bubbles”. In this paper, we try to portrait a whole picture on the attention hypothesis and merge it with these “micro bubbles” we assume to be in the drug development industry.
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