Investor Attention and Global Stock Returns
Chen, Tao
2017
Source PublicationJOURNAL OF BEHAVIORAL FINANCE
ABS Journal Level2
ISSN1542-7560
Volume18Issue:3Pages:358-372
Abstract

The author constructs a direct measure of investor attention toward global benchmark indices using Google search volume and empirically examines its impact on stock returns. The author documents a significant decrease in index returns following an increase in investor attention. This result is consistent with the investor recognition hypothesis (Merton [1987]) and the finding of no-media premium in the United States (Fang and Peress [2009]). Additional tests suggest that the attention effect may be attributable to local and U.S. investors. Finally, such negative effect of attention is found to be strengthened (weaken) in the market with positive (negative) sentiments.

KeywordInvestor Attention Stock Returns Google Search Volume Geography
DOI10.1080/15427560.2017.1331235
URLView the original
Indexed BySSCI ; SSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000407397000008
PublisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
The Source to ArticleWOS
Fulltext Access
Citation statistics
Cited Times [WOS]:16   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Chen, Tao. Investor Attention and Global Stock Returns[J]. JOURNAL OF BEHAVIORAL FINANCE,2017,18(3):358-372.
APA Chen, Tao.(2017).Investor Attention and Global Stock Returns.JOURNAL OF BEHAVIORAL FINANCE,18(3),358-372.
MLA Chen, Tao."Investor Attention and Global Stock Returns".JOURNAL OF BEHAVIORAL FINANCE 18.3(2017):358-372.
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