EconPapers    
Economics at your fingertips  
 

Investor Attention and Global Stock Returns

Tao Chen ()

Journal of Behavioral Finance, 2017, vol. 18, issue 3, 358-372

Abstract: The author constructs a direct measure of investor attention toward global benchmark indices using Google search volume and empirically examines its impact on stock returns. The author documents a significant decrease in index returns following an increase in investor attention. This result is consistent with the investor recognition hypothesis (Merton [1987]) and the finding of no-media premium in the United States (Fang and Peress [2009]). Additional tests suggest that the attention effect may be attributable to local and U.S. investors. Finally, such negative effect of attention is found to be strengthened (weaken) in the market with positive (negative) sentiments.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/15427560.2017.1331235 (text/html)
Access to full text is restricted to subscribers.

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:taf:hbhfxx:v:18:y:2017:i:3:p:358-372

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/hbhf20

DOI: 10.1080/15427560.2017.1331235

Access Statistics for this article

Journal of Behavioral Finance is currently edited by Brian Bruce

More articles in Journal of Behavioral Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2022-11-28
Handle: RePEc:taf:hbhfxx:v:18:y:2017:i:3:p:358-372