Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea

Joon Chae, Ryumi Kim and Jaehee Han
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Joon Chae: Business School, Seoul National University, Seoul 08826, Korea
Ryumi Kim: School of Business, Chungbuk National University, Cheongju 28644, Korea
Jaehee Han: David Eccles School of Business, University of Utah, Salt Lake City, UT 84112, USA

Sustainability, 2020, vol. 12, issue 22, 1-29

Abstract: Recent studies have used internet search volume as a measure of investor attention. In addition, literature argues that limited investor attention contributes to market underreaction to public information such as earnings announcements. We show that firms with more investor attention captured by abnormal internet search frequency have stronger announcement-day reactions and weaker post-earnings-announcement drift. The effect of abnormal search frequency is stronger for medium and small-sized firms, which usually receive insufficient attention. Our evidence indicates that firms with higher search intensity are traded more, especially by individual investors. Moreover, we imply that it is a sustainable development for investors to be able to use public information through the internet for investment in stock markets.

Keywords: search frequency; investor attention; earnings announcements; market underreaction; individual investor (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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