IDEAS home Printed from https://ideas.repec.org/a/bla/acctfi/v65y2025i1p521-550.html
   My bibliography  Save this article

Investigating proxies for retail investor attention in financial markets

Author

Listed:
  • Daniel Cahill
  • Zhangxin (Frank) Liu
  • Lee A. Smales

Abstract

Investor attention influences financial markets but “depends on where you search” (Ben‐Rephael et al., The Review of Financial Studies, 2017, 30, 3009). We explore various retail investor attention proxies and their correlations with company characteristics and market reactions. Individually, retail attention proxies have a similar positive association with post‐earnings cumulative abnormal returns; however collectively, only abnormal Twitter (now X) attention remains significant after accounting for other retail attention metrics. Simultaneously high abnormal attention in all proxies captures a subsample that exhibits a post‐earnings announcement drift, contradicting the hypothesis that higher investor attention attenuates such drifts. Using vector autoregression, we find Twitter attention leads other retail attention proxies.

Suggested Citation

  • Daniel Cahill & Zhangxin (Frank) Liu & Lee A. Smales, 2025. "Investigating proxies for retail investor attention in financial markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 65(1), pages 521-550, March.
    • Handle: RePEc:bla:acctfi:v:65:y:2025:i:1:p:521-550
    DOI: 10.1111/acfi.13338
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/acfi.13338
    Download Restriction: no
    File URL: https://libkey.io/10.1111/acfi.13338?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:acctfi:v:65:y:2025:i:1:p:521-550. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/aaanzea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.