IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v241y2024ics0165176524003203.html
   My bibliography  Save this article

The Wikipedia effect: Analyzing investor attention for strategic investment decisions

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176524003203
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2024.111836?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2019. "Does twitter predict Bitcoin?," Economics Letters, Elsevier, vol. 174(C), pages 118-122.
    2. Thomas Boulton & Bill B. Francis & Thomas Shohfi & Daqi Xin, 2021. "Investor awareness or information asymmetry? Wikipedia and IPO underpricing," The Financial Review, Eastern Finance Association, vol. 56(3), pages 535-561, August.
    3. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
    4. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    5. Yunqi Fan & Fangzhao Zhou & Yunbi An & Jun Yang, 2021. "Investor Sentiment and Stock Price Crash Risk: Evidence from China," Global Economic Review, Taylor & Francis Journals, vol. 50(4), pages 310-339, October.
    6. Anthony W. Lynch & Pierluigi Balduzzi, 2000. "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior," Journal of Finance, American Finance Association, vol. 55(5), pages 2285-2309, October.
    7. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    8. Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Beyond the hype: examining the relationship between Wikipedia attention and realised skewness for crypto assets," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-12, September.
    9. Zhi Da & Joseph Engelberg & Pengjie Gao, 2011. "In Search of Attention," Journal of Finance, American Finance Association, vol. 66(5), pages 1461-1499, October.
    10. Xu, Yongxin & Xuan, Yuhao & Zheng, Gaoping, 2021. "Internet searching and stock price crash risk: Evidence from a quasi-natural experiment," Journal of Financial Economics, Elsevier, vol. 141(1), pages 255-275.
    11. Ivo Welch, 2022. "The Wisdom of the Robinhood Crowd," Journal of Finance, American Finance Association, vol. 77(3), pages 1489-1527, June.
    12. Peter Iliev & Jonathan Kalodimos & Michelle Lowry, 2021. "Investors’ Attention to Corporate Governance [The “Wall Street Walk” and shareholder activism: Exit as a form of voice]," The Review of Financial Studies, Society for Financial Studies, vol. 34(12), pages 5581-5628.
    13. Behrendt, Simon & Peter, Franziska J. & Zimmermann, David J., 2020. "An encyclopedia for stock markets? Wikipedia searches and stock returns," International Review of Financial Analysis, Elsevier, vol. 72(C).
    14. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xin Chen & Wei He & Libin Tao & Jianfeng Yu, 2023. "Attention and Underreaction-Related Anomalies," Management Science, INFORMS, vol. 69(1), pages 636-659, January.
    2. David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2018. "Innovative Originality, Profitability, and Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2553-2605.
    3. Cosemans, Mathijs & Frehen, Rik, 2021. "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 140(2), pages 460-483.
    4. Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024. "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
    5. Kumar, Alok & Lei, Zicheng & Zhang, Chendi, 2022. "Dividend sentiment, catering incentives, and return predictability," Journal of Corporate Finance, Elsevier, vol. 72(C).
    6. Zhang, Yaojie & Song, Bingheng & He, Mengxi & Wang, Yudong, 2024. "Abnormal temperature and the cross-section of stock returns in China," International Review of Financial Analysis, Elsevier, vol. 94(C).
    7. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
    8. Daniel Chai & Mengjia Dai & Philip Gharghori & Barbara Hong, 2021. "Internet Search Intensity and Its Relation with Trading Activity and Stock Returns," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 282-311, March.
    9. Zhu, Hongbing & Yang, Lihua & Xu, Changxin, 2023. "Tracking investor gambling intensity," International Review of Financial Analysis, Elsevier, vol. 86(C).
    10. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    11. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    12. Cortez, Maria Céu & Andrade, Nuno & Silva, Florinda, 2022. "The environmental and financial performance of green energy investments: European evidence," Ecological Economics, Elsevier, vol. 197(C).
    13. Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019. "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, vol. 108(C).
    14. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
    15. Bradrania, Reza & Veron, Jose Francisco, 2023. "The beta anomaly in the Australian stock market and the lottery demand," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    16. Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
    17. Chris Florackis & Christodoulos Louca & Roni Michaely & Michael Weber, 2023. "Cybersecurity Risk," The Review of Financial Studies, Society for Financial Studies, vol. 36(1), pages 351-407.
    18. Jeong, Giho & Kang, Jangkoo & Kwon, Kyung Yoon, 2018. "Liquidity skewness premium," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 130-150.
    19. Yu Wang & Haicheng Shu, 2019. "Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China," Working Papers 2019-10-10, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    20. Mamdouh Medhat & Maik Schmeling, 2022. "Short-term Momentum," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.

    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

    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:eee:ecolet:v:241:y:2024:i:c:s0165176524003203. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    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.