Open source information, investor attention, and asset pricing

Wei Zhang, Dehua Shen, Yongjie Zhang and Xiong Xiong

Economic Modelling, 2013, vol. 33, issue C, 613-619

Abstract: In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered. Secondly, the Main Board is more efficient than the ChiNext and the SME Board in the view of informational efficiency. Thirdly, investor attention exhibits strong contemporary relationship with abnormal return. Fourthly, open source information can enhance the speed of information dissemination and make the market efficient.

Keywords: Baidu Index; Investor attention; Market efficiency; Granger causality; Psychological biases (search for similar items in EconPapers)
JEL-codes: C51 C58 G12 G14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (80)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:33:y:2013:i:c:p:613-619

DOI: 10.1016/j.econmod.2013.03.018

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