The Wikipedia effect: Analyzing investor attention for strategic investment decisions

Chaehyun Pyun

Economics Letters, 2024, vol. 241, issue C

Abstract: The industries with the highest increase in Wikipedia page views are the telecommunications, consumer durables, and high-technology sectors. On average, firms with increasing views have higher returns, lower earnings per share, and higher price-to-earnings ratios. Moreover, long-short investment strategies using changes in Wikipedia page views yield profitable portfolio returns, outperforming the market. Factor model regressions demonstrate that these portfolios exhibit positive abnormal returns relative to various benchmark models. In particular, the high-minus-low portfolio shows statistically significant alphas that common risk factors cannot explain. The findings suggest that changes in firms’ Wikipedia page views are a valuable indicator of stock performance.

Keywords: Wikipedia; Investor attention; Investment portfolios; Stock returns (search for similar items in EconPapers)
JEL-codes: G10 G11 G40 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003203

DOI: 10.1016/j.econlet.2024.111836

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