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.
Author: | Konstantin Storms, Julia Kapraun, Markus Rudolf |
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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 |