Does attention affect individual investors' investment return?

Rongsheng Shi, Zhi Xu, Zhengrong Chen and Jing Huang

China Finance Review International, 2012, vol. 2, issue 2, 143-162

Abstract: Purpose - The purpose of this paper is to theoretically and empirically explore the effects of attention levels on individual investors' investment return. Design/methodology/approach - By introducing the heterogeneous attention, the authors first expand the theoretical model of Barber and Odean. The authors use graphical analysis, univariate analysis, multiple regression analysis and construct a portfolio to carry out an empirical study. Findings - The authors first find evidence in support of Barber and Odean's price pressure hypothesis. By theoretical and empirical study, the authors conclude that attention negatively affects individual investors' investment return. Originality/value - By introducing the heterogeneous attention, the paper provides a theoretical basis for empirical study. Baidu abnormal search volume was used as a proxy for individual investors' attention, and analysts' neutral ratings were used to empirically verify the theoretical theorem.

Keywords: Investors; Investments; Returns; Individual behaviour; Individual investor; Investor attention; Investment return; Search volume (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:cfripp:v:2:y:2012:i:2:p:143-162

DOI: 10.1108/20441391211215824

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