Network Attention and Earnings Drift

Chen Chunying and Hsieh Chiunghua
Additional contact information
Chen Chunying: Economics and Management College, Zhaoqing University, Zhaoqing, China
Hsieh Chiunghua: Department of Finance, National Yunlin University of Science and Technology, Yunlin, China

International Journal of Economics and Financial Issues, 2019, vol. 9, issue 3, 233-236

Abstract: For the first time, this article uses the search volume index (SVI) of Google Trends to measure investor attention and observe stock market. Empirical results show that the higher the attention to individual stocks, the lower the cumulative abnormal returns. If stocks had positive (negative) abnormal returns, the cumulative abnormal returns would decline, thereby weakening (strengthening) earnings drift. Only the stocks with earnings that weren't as good as expected encountered an increase in cumulative abnormal returns. Regarding stocks that attract investor attention, having a positive (negative) earnings surprise brings more positive (negative) cumulative abnormal returns and strengthens (weakens) earnings drift.

Keywords: Earnings drift; search volume index; investor attention (search for similar items in EconPapers)
JEL-codes: G1 J3 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/7975/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/7975/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2019-03-23

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().