Retail Investor Attention and Stock Liquidity

By R. Ding, Wenxuan Hou. 2015

221 citations recorded by the source corpus.

We use the search volume index (SVI) of the stock ticker provided by Google Trends to capture the active attention that retail investors pay to stocks. Based on the analysis of S&P 500 stocks from 2004 to 2009, we show that the majority of the variation in SVI cannot be explained by passive attention measures, including Google News coverage and advertising expenditure. We find that retail investor attention, reflected by the level and change in SVI, significantly enlarges the shareholder base and improves stock liquidity. The results are robust to the control of endogeneity issues.

Subfields: Finance, Marketing, Sociology and Political Science

View Paper: https://www.semanticscholar.org/paper/33650fb760d24440f9ee2d54d78403d11cae64f8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Guangda Ouyang
2. Fenghua Wen
3. Longhao Xu
4. Gang Kou

Citations in the corpus

• Retail investor attention and stock price crash risk: Evidence from China (2019, background): “Recent studies (e.g., Aboody and Lev (2000), Da et al. (2011), Ding and Hou (2015), Goddard et al. (2015), Drake et al. (2016), Han et al. (2018)) also indicate that the scarcity of investor attention affects the choice of assets and their allocation, leading to changes in price dynamics of assets,…”