In Search of Concepts: The Effects of Speculative Demand on Stock Returns

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygl

Fersiynau electronig

Dangosydd eitem ddigidol (DOI)

Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand affects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.

Allweddeiriau

Iaith wreiddiolSaesneg
Tudalennau (o-i)427-449
CyfnodolynEuropean Financial Management
Cyfrol22
Rhif y cyfnodolyn3
Dyddiad ar-lein cynnar30 Gorff 2015
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 2 Meh 2016
Gweld graff cysylltiadau