Stock return comovement when investors are distracted: More, and more homogeneous

We study how investors re-allocate attention when the opportunity cost of acquiring information suddenly increases. Using intraday data for more than 750 stocks in 19 countries, we find that who are distracted by FIFA World Cup soccer matches shift away from firm-specific and global news. When movements stock markets large, pricing news reverts back to normal, but domestic keep being priced less, leading increased comovement with national market. This increase is stronger normally comove less market, a convergence betas across stocks.