Limited attention, salience of information and stock market activity

Sofia Ramos, Pedro Latoeiro and Helena Veiga

Economic Modelling, 2020, vol. 87, issue C, 92-108

Abstract: It is now widely recognized in the literature that individuals have limited attention and that salient information plays a key role in individuals choices. We analyze the salience of two sources of information for investors: firm-specific and market. Salient information on firm and market levels is captured by 52-week highs and low indicators while investor attention is filtered by Google web searches. Results show that web searches is a predictor of volume, volatility and returns, and the effects are stronger when using market information. Our findings help to better understand the sources of information that lead individuals in making investment decisions.

Keywords: 52-week high prices; Behavioral finance; Google search volume index; Investor attention; Predictability; Salience (search for similar items in EconPapers)
JEL-codes: G10 G40 G41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:87:y:2020:i:c:p:92-108

DOI: 10.1016/j.econmod.2019.07.010

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