How security prices respond to a surge in investor attention: Evidence from Google Search of ADRs |
| |
| Affiliation: | 1. School of Economics and Management, Beihang University, Beijing, China;2. School of Finance, Central University of Finance and Economics, Beijing, China;1. Warwick Business School, University of Warwick, Coventry, England, UK;2. University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, Scotland EH8 9JS, UK;1. Bangor Business School, Hen Goleg, College Road, Bangor LL57 2DG, United Kingdom;2. University of Southampton – Highfield Campus, Southampton SO17 1BJ, United Kingdom;3. Cardiff Business School, Aberconway Buidling, Colum Drive, Cardiff CF10 3EU, United Kingdom |
| |
| Abstract: | This study examines the day-to-day impact of a surge in investor attention on security prices within a four-week investment horizon. Focusing on a sample of ADRs traded in the U.S. stock markets between 2004 and 2015, we measure the surge in investor attention by constructing a dummy variable based on the Search Volume Index (SVI) obtained from Google Trends. We find strong evidence that a surge in investor attention is associated with a same-day positive abnormal return. But the positive association between investor attention and stock return disappears or even reverses quickly after day zero. ADRs originated from developing countries and developed countries appear to be equally responsive to a surge in investor attention. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
