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Can retail investor attention enhance market efficiency?

  • This study provides novel insights to the ongoing debate how market efficiency is challenged by investor behavior. Applying search engine data we find that retail investor attention can enhance market efficiency. High attention is associated with better incorporation of idiosyncratic stock information, which we interpret as improved pricing efficiency. This effect is even more pronounced in bullish markets. In bearish markets, however, retail investor attention leads to a deterioration of pricing efficiency, which might be explained with herding behavior. Our evidence holds for a broad sample of European and US stocks.

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Metadaten
Author:Konstantin Storms, Julia Kapraun, Markus Rudolf
URN:urn:nbn:de:hbz:992-opus4-6977
DOI:https://doi.org/10.2139/ssrn.2636839
Subtitle (English):Insights from search engine data
Publisher:WHU - Otto Beisheim School of Management
Place of publication:Vallendar
Document Type:Working Paper
Language:English
Date of Publication (online):2015/07/29
Date of first Publication:2015/07/29
Release Date:2018/07/09
Tag:Anlegerinteresse; Datenvolumen; Kapitalmarkteffizienz; Suchmaschine
Data volume; Investor attention; Market efficiency; Search engine
Page Number:38
Institutes:WHU Centers / Center of Asset and Wealth Management
JEL-Classification:G Financial Economics / G1 General Financial Markets / G12 Asset Pricing; Trading volume; Bond Interest Rates
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies
Licence (German):Copyright for this publication