van Cappelle, T., Pokidin, D. and Zwinkels, R. (2025). The cross section of stock returns in an artificial stock market Journal of Economic Behavior and Organization, 239:1--20.

We examine the role of pandemic attention in stock market dynamics during the coronavirus pandemic. We show that the amount of attention paid to pandemic news is an important determinant of market dynamics, beyond health news. We find that pandemic attention asymmetrically influences stock market dynamics during the pandemic by negatively contributing to low returns and positively contributing to high returns. Second, pandemic numbers and news sentiment only affect stock returns if sufficient attention is paid to pandemic news. Third, pandemic attention is positively related to stock market volatility and comovement. Finally, we provide evidence that this higher comovement can be explained by limited attention: pandemic attention comes at the cost of attention paid to firm-specific news because investors apply category learning behavior and prioritize market-wide news.