In Search of Concepts: The Effects of Speculative Demand on Stock Returns
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
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 wreiddiol | Saesneg |
|---|---|
| Tudalennau (o-i) | 427-449 |
| Cyfnodolyn | European Financial Management |
| Cyfrol | 22 |
| Rhif y cyfnodolyn | 3 |
| Dyddiad ar-lein cynnar | 30 Gorff 2015 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 2 Meh 2016 |