Investor attention and stock returns: Evidence from Borsa Istanbul
Sign Up to like & getrecommendations! Published in 2019 at "Borsa Istanbul Review"
DOI: 10.1016/j.bir.2018.10.003
Abstract: This paper constructs a novel measure of direct firm specific investor attention using abnormal Google search volume index (ASVI) towards stocks in Turkey. In sample of BIST all shares index stocks over the period April… read more here.
Keywords: attention; investor attention; stock; borsa istanbul ... See more keywords
Does retail investor attention improve stock liquidity? A dynamic perspective
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2020.10.001
Abstract: Abstract The purpose of this paper is to examine the dynamic relationship between retail investor attention and stock liquidity. Using high-frequency data for China’s stock market, we find that retail investor attention, measured by Baidu… read more here.
Keywords: investor attention; stock liquidity; investor; retail investor ... See more keywords
The timing of low-volatility strategy
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.05.014
Abstract: This study explores the role of investor attention impact on low-volatility strategy. Our evidence suggests that a low-volatility strategy for high investor attention stocks is more profitable than low investor attention stocks. Conditioned on high… read more here.
Keywords: volatility; investor attention; volatility strategy; low volatility ... See more keywords
Effects of investor attention on commodity futures markets
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.10.014
Abstract: Abstract China has recently seen surging retail investor participation in commodity futures markets and rapid adoption of mobile Internet interface. We study two questions with these developments using search frequency from Baidu, the leading Chinese… read more here.
Keywords: futures markets; attention; investor attention; commodity futures ... See more keywords
Investor attention and bitcoin liquidity: Evidence from bitcoin tweets
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101555
Abstract: Abstract This study employs the number of tweets as a proxy for investor attention. We use high-frequency data to investigate tweets’ real-time effects on Bitcoin liquidity. We find that a 1% increase in tweets leads… read more here.
Keywords: attention; liquidity; investor attention; bitcoin liquidity ... See more keywords
Investor attention shocks and stock co-movement: Substitution or reinforcement?
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101617
Abstract: Abstract The impact of investor attention allocation shocks on firm-level stock return co-movements with the market remains of great interest. Recent papers study this issue while showing that large national lottery jackpots act as shocks… read more here.
Keywords: market; attention; investor attention; allocation ... See more keywords
Investor attention on COVID-19 and African stock returns
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DOI: 10.1016/j.mex.2020.101195
Abstract: We examine the financial consequences of rising global investor attention or risk attitude related to the COVID-19 pandemic for African stock markets. Using daily investor attention indices, which are based on global COVD-19-related google search… read more here.
Keywords: investor attention; investor; stock returns; african stock ... See more keywords
Investor attention, ETF returns, and country-specific factors
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101386
Abstract: 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… read more here.
Keywords: country; country specific; attention; specific factors ... See more keywords
Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101389
Abstract: Abstract This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger… read more here.
Keywords: granger causality; cryptocurrency; investor attention; investor ... See more keywords
Investor attention and currency performance: international evidence
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DOI: 10.1080/00036846.2017.1403556
Abstract: ABSTRACT This article investigates the relationship between investor attention measured by Google search volume index and the performance of several currencies. We find that currency performance is remarkably responsive to changes in investor attention. These… read more here.
Keywords: investor attention; currency performance; performance;
Investor attention and portfolio performance: what information does it pay to pay attention to?
Sign Up to like & getrecommendations! Published in 2021 at "European Journal of Finance"
DOI: 10.1080/1351847x.2021.1911823
Abstract: We explore a unique dataset on individual investors’ online trading accounts to examine the determinants of their attention and its relation to portfolio performance. In particular, we investigate ... read more here.
Keywords: investor attention; attention; pay; portfolio performance ... See more keywords