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Active attention, retail investor base, and stock returns

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  • Chen, Zhongdong
  • Craig, Karen Ann

Abstract

The vast investor attention literature assumes that active retail investor attention drives retail investor base and therefore, stock demand and stock returns. We aim to provide empirical support for these critical assumptions that are heavily relied upon in the literature. Utilizing Robinhood investor data to measure retail investor base and the Google Search Volume Index for stock tickers to measure active retail investor attention, we find that active retail investor attention and increases in active retail investor attention are associated with a larger retail investor base, which is positively related to demand for stocks and stock returns in the subsequent four weeks. We find these effects are impacted by recent stock returns and are economically more significant for larger stocks.

Suggested Citation

  • Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000345
    DOI: 10.1016/j.jbef.2023.100820
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    More about this item

    Keywords

    Retail investor attention; Investor recognition; Google search volume index;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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