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

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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.


  • Investment Concepts, Speculative Demand, Investor attention, Market returns, Trading Volume
Original languageEnglish
Pages (from-to)427-449
JournalEuropean Financial Management
Issue number3
Early online date30 Jul 2015
Publication statusPublished - 2 Jun 2016
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