Active attention, retail investor base, and stock returns

Zhongdong Chen and Karen Ann Craig

Journal of Behavioral and Experimental Finance, 2023, vol. 39, issue C

Abstract: The vast investor attention literature assumes that active retail investor attention drives retail investor base and therefore, stock demand and stock returns. We aim to provide empirical support for these critical assumptions that are heavily relied upon in the literature. Utilizing Robinhood investor data to measure retail investor base and the Google Search Volume Index for stock tickers to measure active retail investor attention, we find that active retail investor attention and increases in active retail investor attention are associated with a larger retail investor base, which is positively related to demand for stocks and stock returns in the subsequent four weeks. We find these effects are impacted by recent stock returns and are economically more significant for larger stocks.

Keywords: Retail investor attention; Investor recognition; Google search volume index (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000345

DOI: 10.1016/j.jbef.2023.100820

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