Online Appendix to: Investor Inattention and the Market Impact of Summary Statistics

This Online Appendix contains three sections of supporting materials to our paper “Investor Inattention and the Market Impact of Summary Statistics.” First, we provide details on the construction methodology of our instrument of stale macroeconomic information, the U.S. Index of Leading Economic Indicators (LEI). Second, we provide the theoretical details and derivations of our stylized model of investor inattention. And third, we provide additional robustness checks to our main result that the release of the LEI impacts aggregate markets. ∗Affiliations: Foster School of Business at the University of Washington, McCombs School of Business at the University of Texas at Austin, Columbia Business School, and The Conference Board, respectively.