IDEAS home Printed from https://ideas.repec.org/r/eee/jfinec/v116y2015i3p548-564.html
   My bibliography  Save this item

Market-wide attention, trading, and stock returns

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat, 2020. "Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis," Risks, MDPI, vol. 9(1), pages 1-15, December.
  2. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
  3. Chang, Shu-Lien & Chien, Cheng-Yi & Lee, Hsiu-Chuan & Lin, Ching, 2018. "Historical high and stock index returns: Application of the regression kink model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 48-63.
  4. Songur, Hilmi & Heavilin, Jason E., 2017. "Abnormal research and development investments and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 237-249.
  5. Umar, Tarik, 2022. "Complexity aversion when SeekingAlpha," Journal of Accounting and Economics, Elsevier, vol. 73(2).
  6. Ozdamar, Melisa & Sensoy, Ahmet & Akdeniz, Levent, 2022. "Retail vs institutional investor attention in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  7. Klaudia Radoczy & Akos Toth-Pajor, 2021. "Investors' Reactions to Extreme Events in the Hungarian Stock Market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(3), pages 5-30.
  8. Li, Tao & Xiang, Cheng & Liu, Zhuo & Cai, Wenwu, 2020. "Annual report disclosure timing and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  9. Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
  10. Filzen, Joshua J. & Schutte, Maria Gabriela, 2017. "Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 19-37.
  11. Agnieszka P. Markiewicz & Ralph C. Verhoeks & Willem F. C. Verschoor & Remco C. J. Zwinkels, 2023. "Inattentive Search for Currency Fundamentals," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(4), pages 907-952, December.
  12. Giofré, Maela, 2021. "Stock exchange consolidation and cross-border investment: An empirical assessment," Journal of Financial Stability, Elsevier, vol. 53(C).
  13. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020. "Price gap anomaly in the US stock market: The whole story," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  14. Hsiu-Chuan Lee & Donald Lien & Her-Jiun Sheu, 2023. "Hedging performance of volatility index futures: a partial cointegration approach," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 265-294, July.
  15. Weida Kuang & Qilin Wang, 2018. "Cultural similarities and housing market linkage: evidence from OECD countries," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-25, December.
  16. Hu, Yitong & Shen, Dehua & Urquhart, Andrew, 2023. "Attention allocation and cryptocurrency return co-movement: Evidence from the stock market," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1173-1185.
  17. Hu, Yitong & Li, Xiao & Shen, Dehua, 2020. "Attention allocation and international stock return comovement: Evidence from the Bitcoin market," Research in International Business and Finance, Elsevier, vol. 54(C).
  18. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
  19. Andrey Kudryavtsev, 2020. "Stock Return Dynamics after Analyst Recommendation Revisions," Journal of Risk & Control, Risk Market Journals, vol. 7(1), pages 1-16.
  20. Dierick, Nicolas & Heyman, Dries & Inghelbrecht, Koen & Stieperaere, Hannes, 2019. "Financial attention and the disposition effect," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 190-217.
  21. Chen, Hong-Yi & Chen, Hsuan-Chi & Lai, Christine W., 2021. "Internet search, fund flows, and fund performance," Journal of Banking & Finance, Elsevier, vol. 129(C).
  22. Guomei Tang & Xueyong Zhang, 2021. "Media attention to locations and the cross‐section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2301-2336, April.
  23. Lee, Hsiu-Chuan & Lee, Yun-Huan & Lu, Yang-Cheng & Wang, Yu-Chun, 2020. "States of psychological anchors and price behavior of Japanese yen futures," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  24. Andrey Kudryavtsev, 2021. "The Correlation Between Stock Returns Before And After Analyst Recommendation Revisions," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(228), pages 69-100, January –.
  25. Hyoung-Goo Kang & Kyounghun Bae & Jung Ah Shin & Seongmin Jeon, 2021. "Will data on internet queries predict the performance in the marketplace: an empirical study on online searches and IPO stock returns," Electronic Commerce Research, Springer, vol. 21(1), pages 101-124, March.
  26. Wang, Albert Y. & Young, Michael, 2023. "Mood, attention, and household trading: Evidence from terrorist attacks," Journal of Financial Markets, Elsevier, vol. 66(C).
  27. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
  28. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
  29. Platania, Federico & Hernandez, C. Toscano & Arreola, Fernanda, 2022. "Social media communication during natural disasters and the impact on the agricultural market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
  30. Tariq Aziz & Valeed Ahmad Ansari, 2021. "How Does Google Search Affect the Stock Market? Evidence from Indian Companies," Vision, , vol. 25(2), pages 224-232, June.
  31. Noman, Abdullah & Naka, Atsuyuki & Zirek, Duygu, 2017. "Examining return predictability of industry style portfolios with prior return relative to a benchmark," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 193-203.
  32. Ehrmann, Michael & Jansen, David-Jan, 2022. "Stock return comovement when investors are distracted: More, and more homogeneous," Journal of International Money and Finance, Elsevier, vol. 129(C).
  33. Chen, Zhang-Hangjian & Chu, Wei-Wei & Gao, Xiang & Koedijk, Kees G. & Xu, Yaping, 2024. "Extreme weather, climate risk, and the lead–lag role of carbon," Global Finance Journal, Elsevier, vol. 61(C).
  34. Yang, Jun & Lu, Jing & Xiang, Cheng, 2020. "Company visits and stock price crash risk: Evidence from China," Emerging Markets Review, Elsevier, vol. 44(C).
  35. Christophe J. GODLEWSKI & Katarzyna BYRKA-KITA & Renata GOLA & Jacek CYPRYJANSKI, 2022. "Silence is not golden anymore? Social media activity and stock market valuation in Europe," Working Papers of LaRGE Research Center 2022-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  36. De Souza, Heloisa Elias & Barbedo, Claudio Henrique Da Silveira & Araújo, Gustavo Silva, 2018. "Does investor attention affect trading volume in the Brazilian stock market?," Research in International Business and Finance, Elsevier, vol. 44(C), pages 480-487.
  37. Paritosh Chandra Sinha, 2023. "Attention to the Fads and Fashions in the Indian Stock Markets During COVID-19," Vision, , vol. 27(2), pages 202-224, April.
  38. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.
  39. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Forecasting the CNY-CNH pricing differential: The role of investor attention," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 232-247.
  40. Goodell, John W. & Kumar, Satish & Li, Xiao & Pattnaik, Debidutta & Sharma, Anuj, 2022. "Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 511-529.
  41. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
  42. Liu, Beibei & Tan, Keqi & Wong, Sonia M.L. & Yip, Rita W.Y., 2022. "Intra-industry information transfer in emerging markets: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 140(C).
  43. Mir Danial Mousavi & Mir Damoun Mousavi, 2023. "The Effect of Stakeholder’s Pressure on firm Market Performance and the Mediating Role of Corporate Responsibility, Sustainable Supplier Selection, and Marketing Capability," Corporate Reputation Review, Palgrave Macmillan, vol. 26(3), pages 179-191, August.
  44. Al-Nasseri, Alya & Menla Ali, Faek & Tucker, Allan, 2021. "Investor sentiment and the dispersion of stock returns: Evidence based on the social network of investors," International Review of Financial Analysis, Elsevier, vol. 78(C).
  45. Zhang, Yihao & Tao, Lingfeng, 2019. "Haze, investor attention and China's stock markets: Evidence from internet stock forum," Finance Research Letters, Elsevier, vol. 31(C).
  46. David Ardia & Cl'ement Aymard & Tolga Cenesizoglu, 2023. "Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior," Papers 2307.11012, arXiv.org.
  47. Que, Jiangjing & Zhang, Xueyong, 2021. "Money chasing hot industries? Investor attention and valuation of venture capital backed firms," Journal of Corporate Finance, Elsevier, vol. 68(C).
  48. Hung, Weifeng & Lin, Ching-Ting & Yang, J. Jimmy, 2022. "Aggregate 52-week high, limited attention, and time-varying momentum profits," Journal of Banking & Finance, Elsevier, vol. 141(C).
  49. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
  50. Alan Crane & Kevin Crotty & Tarik Umar, 2023. "Hedge Funds and Public Information Acquisition," Management Science, INFORMS, vol. 69(6), pages 3241-3262, June.
  51. Gao, Ya & Xiong, Xiong & Feng, Xu & Li, Youwei & Vigne, Samuel A., 2019. "A new attention proxy and order imbalance: Evidence from China," Finance Research Letters, Elsevier, vol. 29(C), pages 411-417.
  52. 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.
  53. Feipeng Zhang & Yun Hong & Yanhui Jiang & Jiayi Yu, 2022. "Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression," Applied Economics, Taylor & Francis Journals, vol. 54(33), pages 3861-3881, July.
  54. Michaely, Roni & Rubin, Amir & Vedrashko, Alexander, 2016. "Are Friday announcements special? Overcoming selection bias," Journal of Financial Economics, Elsevier, vol. 122(1), pages 65-85.
  55. William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2016. "Crash Beliefs From Investor Surveys," NBER Working Papers 22143, National Bureau of Economic Research, Inc.
  56. Alexander Nekrasov & Siew Hong Teoh & Shijia Wu, 2022. "Visuals and attention to earnings news on twitter," Review of Accounting Studies, Springer, vol. 27(4), pages 1233-1275, December.
  57. Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
  58. Yuan, Ying & Fan, Xiaoqian & Li, Yiou, 2022. "Do local and non-local retail investor attention impact stock returns differently?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  59. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  60. Tse-Chun Lin & Xin Liu, 2018. "Skewness, Individual Investor Preference, and the Cross-section of Stock Returns [Illiquidity and stock returns: cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 22(5), pages 1841-1876.
  61. Bucher, Melk C., 2017. "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance 1712, University of St. Gallen, School of Finance.
  62. Diefeng Peng & Yulei Rao & Mei Wang, 2016. "Do Top 10 Lists of Daily Stock Returns Attract Investor Attention? Evidence from a Natural Experiment," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 565-593, December.
  63. Plante, Michael, 2019. "OPEC in the news," Energy Economics, Elsevier, vol. 80(C), pages 163-172.
  64. Jiayi Zheng, 2024. "Institutional attention and investment efficiency," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 3241-3273, December.
  65. Verhoeks, Ralph C. & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2024. "Wall street watches Washington: Asset pricing implications of policy uncertainty," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
  66. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
  67. Saadon, Yossi & Schreiber, Ben Z., 2023. "Newspapers tone and the overnight-intraday stock return anomaly," Journal of Financial Markets, Elsevier, vol. 65(C).
  68. Chen, Rongda & Qian, Qian & Jin, Chenglu & Xu, Min & Song, Qiping, 2020. "Investor attention on internet financial markets," Finance Research Letters, Elsevier, vol. 36(C).
  69. Li, Fengfei & Lin, Chen & Lin, Tse-Chun, 2021. "Salient anchor and analyst recommendation downgrade," Journal of Corporate Finance, Elsevier, vol. 69(C).
  70. Al-Nasseri, Alya & Menla Ali, Faek, 2018. "What does investors' online divergence of opinion tell us about stock returns and trading volume?," Journal of Business Research, Elsevier, vol. 86(C), pages 166-178.
  71. Dias, Ishanka K. & Fernando, J.M. Ruwani & Fernando, P. Narada D., 2022. "Does investor sentiment predict bitcoin return and volatility? A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
  72. Yao, Ting & Zhang, Yue-Jun & Ma, Chao-Qun, 2017. "How does investor attention affect international crude oil prices?," Applied Energy, Elsevier, vol. 205(C), pages 336-344.
  73. Chen, Chen & Lu, Xiaomeng & Zhang, Yixing, 2023. "Is attention-based stock buying profitable? Empirical evidence from Chinese individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  74. Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
  75. Huang, Yuqin & Qiu, Huiyan & Wu, Zhiguo, 2016. "Local bias in investor attention: Evidence from China's Internet stock message boards," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 338-354.
  76. Lin, Chu-Bin & Chou, Robin K. & Wang, George H.K., 2018. "Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 17-31.
  77. Keyi Zhang & Ramazan Gençay, 2019. "Mutual Fund Performance In Developing And Advanced World Networks," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(02), pages 399-421, March.
  78. Mosi Rosenboim & Yossi Saadon & Ben Z. Schreiber, 2018. "“Much Ado about Nothing”? The Effect of Print Media Tone on Stock Indices," Bank of Israel Working Papers 2018.10, Bank of Israel.
  79. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).
  80. Jungshik Hur & Vivek Singh, 2022. "The role of investor attention in idiosyncratic volatility puzzle and new results," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 409-434, January.
  81. Ruan, Xinfeng & Zhang, Jin E., 2016. "Investor attention and market microstructure," Economics Letters, Elsevier, vol. 149(C), pages 125-130.
  82. Stefano Cassella & Huseyin Gulen, 2018. "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4345-4397.
  83. Hsieh, Shu-Fan & Chan, Chia-Ying & Wang, Ming-Chun, 2020. "Retail investor attention and herding behavior," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 109-132.
  84. Xiaoping Li & Zhipeng Zhang & Junyu Pan & Jihong Duan, 2023. "Investor attention and the predictability of the volatility of CNY‐CNH spreads: Evidence from a GARCH‐MIDAS model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 4939-4959, December.
  85. Peltomäki, Jarkko & Graham, Michael & Hasselgren, Anton, 2018. "Investor attention to market categories and market volatility: The case of emerging markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 532-546.
  86. Cai, Wenwu & Lu, Jing, 2019. "Investors’ financial attention frequency and trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  87. Cai, Haidong & Jiang, Ying & Liu, Xiaoquan, 2022. "Investor attention, aggregate limit-hits, and stock returns," International Review of Financial Analysis, Elsevier, vol. 83(C).
  88. Michael S. Drake & Jared Jennings & Darren T. Roulstone & Jacob R. Thornock, 2017. "The Comovement of Investor Attention," Management Science, INFORMS, vol. 63(9), pages 2847-2867, September.
  89. Huang, Shiyang & Huang, Yulin & Lin, Tse-Chun, 2019. "Attention allocation and return co-movement: Evidence from repeated natural experiments," Journal of Financial Economics, Elsevier, vol. 132(2), pages 369-383.
  90. Chen, Yuan & Han, Dongmei & Zhou, Xiaofeng, 2023. "Mining the emotional information in the audio of earnings conference calls : A deep learning approach for sentiment analysis of securities analysts' follow-up behavior," International Review of Financial Analysis, Elsevier, vol. 88(C).
  91. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
  92. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.