First, economic news would bias our

First, economic news would bias our results against finding a distraction effect. Indeed, a large literature documents that stock returns are orders of magnitude more variable on days with economic news (see, for example e.g. Cutler, Poterba, and Summers (1989), Ederington and Lee (1993)). In contrast, we expect (and find) less return volatility under our distraction hypothesis. Similarly, public news typically coincides with large increases in trading activity, which are attributed to increases in disagreement and/or differences in information processing