Investor attention, ETF returns, and country-specific factors

Chien-Chiang Lee (), Mei-Ping Chen () and Chi-Chuan Lee

Research in International Business and Finance, 2021, vol. 56, issue C

Abstract: Using the data of 47 single-country exchange-traded funds (ETFs) traded in the U.S. from 36 countries during 2004–2017, this research examines the impact of investor attention proxied by Google Search Volume Index and home country-specific factors on different quantile of their returns. Evidence first shows that compared with U.S. investor attention, home country investor attention largely correlates with low to medium ETF returns, supporting the attention-induced price pressure hypothesis. Second, home country-specific factors significantly affect ETF returns at different conditional quantiles. We also find that investors prefer investing in a country with strong similarity to that of the U.S., supporting the cross-country information asymmetry hypothesis. Third, an intervening effect of home country-specific factors exists on the relationship between U.S. investor attention and ETF returns. These findings should help government authorities find appropriate strategies to attract foreign investment and upgrade the value of their capital market as well as provide a reference on efficiency for equity investors.

Keywords: Google searches; Investor attention; Exchange-traded funds; Country-specific factors; Method of moments quantile regression (search for similar items in EconPapers)
JEL-codes: C21 G15 G40 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:56:y:2021:i:c:s0275531921000076

DOI: 10.1016/j.ribaf.2021.101386

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