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Network Attention and Earnings Drift

Author

Listed:
  • Chen Chunying

    (Economics and Management College, Zhaoqing University, Zhaoqing, China)

  • Hsieh Chiunghua

    (Department of Finance, National Yunlin University of Science and Technology, Yunlin, China)

Abstract

For the first time, this article uses the search volume index (SVI) of Google Trends to measure investor attention and observe stock market. Empirical results show that the higher the attention to individual stocks, the lower the cumulative abnormal returns. If stocks had positive (negative) abnormal returns, the cumulative abnormal returns would decline, thereby weakening (strengthening) earnings drift. Only the stocks with earnings that weren't as good as expected encountered an increase in cumulative abnormal returns. Regarding stocks that attract investor attention, having a positive (negative) earnings surprise brings more positive (negative) cumulative abnormal returns and strengthens (weakens) earnings drift.

Suggested Citation

  • Chen Chunying & Hsieh Chiunghua, 2019. "Network Attention and Earnings Drift," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 233-236.
    • Handle: RePEc:eco:journ1:2019-03-23
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    More about this item

    Keywords

    Earnings drift; search volume index; investor attention;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • J3 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs

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