Investigating proxies for retail investor attention in financial markets

Daniel Cahill, Zhangxin (Frank) Liu and Lee A. Smales

Accounting and Finance, 2025, vol. 65, issue 1, 521-550

Abstract: Investor attention influences financial markets but “depends on where you search” (Ben‐Rephael et al., The Review of Financial Studies, 2017, 30, 3009). We explore various retail investor attention proxies and their correlations with company characteristics and market reactions. Individually, retail attention proxies have a similar positive association with post‐earnings cumulative abnormal returns; however collectively, only abnormal Twitter (now X) attention remains significant after accounting for other retail attention metrics. Simultaneously high abnormal attention in all proxies captures a subsample that exhibits a post‐earnings announcement drift, contradicting the hypothesis that higher investor attention attenuates such drifts. Using vector autoregression, we find Twitter attention leads other retail attention proxies.

Date: 2025
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