Investor Attention and Global Stock Returns

Tao Chen

Research output: Contribution to journalArticlepeer-review

56 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)358-372
Number of pages15
JournalJournal of Behavioral Finance
Volume18
Issue number3
DOIs
Publication statusPublished - 3 Jul 2017

Keywords

  • Geography
  • Google search volume
  • Investor attention
  • Stock returns

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