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The Wikipedia effect: Analyzing investor attention for strategic investment decisions

Author

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  • Pyun, Chaehyun

Abstract

The industries with the highest increase in Wikipedia page views are the telecommunications, consumer durables, and high-technology sectors. On average, firms with increasing views have higher returns, lower earnings per share, and higher price-to-earnings ratios. Moreover, long-short investment strategies using changes in Wikipedia page views yield profitable portfolio returns, outperforming the market. Factor model regressions demonstrate that these portfolios exhibit positive abnormal returns relative to various benchmark models. In particular, the high-minus-low portfolio shows statistically significant alphas that common risk factors cannot explain. The findings suggest that changes in firms’ Wikipedia page views are a valuable indicator of stock performance.

Suggested Citation

  • Pyun, Chaehyun, 2024. "The Wikipedia effect: Analyzing investor attention for strategic investment decisions," Economics Letters, Elsevier, vol. 241(C).
    • Handle: RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003203
    DOI: 10.1016/j.econlet.2024.111836
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    More about this item

    Keywords

    Wikipedia; Investor attention; Investment portfolios; Stock returns;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G40 - Financial Economics - - Behavioral Finance - - - General

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