In Search of Concepts: The Eï¬€ects of Speculative Demand on Stock Returns
Owain ap Gwilym,
Iftekhar Hasan (),
Qingwei Wang and
European Financial Management, 2016, vol. 22, issue 3, 427-449
Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand aï¬€ects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:22:y:2016:i:3:p:427-449
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