Limited attention,salience of information and stock market activity |
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| Institution: | 1. School of Business Administration, Soongsil University, South Korea;2. School of Business, Sogang University, South Korea;1. Department of Finance, Feng Chia University, Taiwan;2. Department of Money and Banking, National Chengchi University, Taiwan;3. School of Accounting, Finance, and Information Systems, College of Business, Oregon State University, 2751 SW Jefferson Way, Corvallis, OR 97331, USA |
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| Abstract: | It is now widely recognized in the literature that individuals have limited attention and that salient information plays a key role in individuals choices. We analyze the salience of two sources of information for investors: firm-specific and market. Salient information on firm and market levels is captured by 52-week highs and low indicators while investor attention is filtered by Google web searches. Results show that web searches is a predictor of volume, volatility and returns, and the effects are stronger when using market information. Our findings help to better understand the sources of information that lead individuals in making investment decisions. |
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| Keywords: | 52-week high prices Behavioral finance Google search volume index Investor attention Predictability Salience G10 G40 G41 |
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