TY - JOUR

T1 - In Search of Concepts: The Effects of Speculative Demand on Stock Returns

AU - ap Gwilym, O.M.

AU - Hasan, I.

AU - Wang, Q.

AU - Xie, R.

PY - 2016/6/2

Y1 - 2016/6/2

N2 - 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.

AB - 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.

KW - Investment Concepts

KW - Speculative Demand

KW - Investor attention

KW - Market returns

KW - Trading Volume

U2 - 10.1111/eufm.12067

DO - 10.1111/eufm.12067

M3 - Article

VL - 22

SP - 427

EP - 449

JO - European Financial Management

JF - European Financial Management

SN - 1468-036X

IS - 3

ER -