Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

https://www.mdpi.com/2227-7072/7/2/30/pdf

Investor Attention and Stock Market Activities: New Evidence from Panel Data

This paper analyzes investors’ trading strategies based on the theory of evolutionarily stable strategies and replicator dynamics model. Under the assumptions closer to a real market, we reveal the relationships between the investor’s price anticipation and equilibrium sustained state. If the mean value of price deviation anticipated by investors is a negative value, there is one equilibrium sustained solution. And if the mean value of price deviation anticipated by investors is a positive value, one equilibrium sustained solution or two equilibrium sustained solutions are likely to appear in our models. This research is beneficial to evaluate differences in revenues between rational traders and noise traders, to understand dynamic evolutionary process of trading strategies, and to find equilibrium sustained solution. In addition, financial crisis as an exogenous factor is introduced into the evolutionary model. Based on theoretical analysis and simulation experiment, the results show that case 3 in theoretical analysis does not occur in the simulation after the outbreak of financial crisis, and case 1 and case 2 in theoretical analysis correspond to the different regions of the anticipated price deviation curves. Moreover, the changes of two equilibrium sustained solutions show opposite tendency characteristics with an increasing of the mean value of price deviation of risk asset. Relative to the existing research results, this paper distinguishes the different yield between risk assets and riskless assets, and considers the existence of transaction cost, assumes investors having different risk aversion coefficient, and takes financial crisis as an example to research the impacts of exogenous variables on investors’ trading strategies. Through comparative analysis, the conclusions drawn from simulation experiment are consistent with equilibrium sustained solutions in theoretical analysis.

Dynamics Evolution of Trading Strategies of Investors in Financial Market

This paper explores the herding towards carbon neutrality in the Chinese stock market. We find that herding towards carbon neutrality does dynamically exist. Specifically, herding is pronounced during the bear markets and market stress periods. Investor attention could significantly decrease the magnitude of herding. Our results hold in various robustness tests. This paper provides some important implications on the style investing, fads, and carbon neutrality. 

Herding towards carbon neutrality: The role of investor attention

In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy generates 19% average annual return and thereby outperforms a simple market buy-and-hold strategy. After controlling for the well-known risk factors, a significant alpha (abnormal return) of 10% p.a. remains. Returns are sufficiently large to cover transaction costs.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2692599_code1760314.pdf?abstractid=2676583&mirid=1

In Search of Alpha - Trading on Limited Investor Attention

Motivated by the literature that investors have limited attention and are subject to constraints in processing information, this thesis studies investor attention and information processing, and their asset-pricing implications in different contexts. The findings have important implications in addressing return patterns that seem anomalous to traditional finance theories on comovement in asset prices.

Essays on Correlated Information Flows and Asset Pricing

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.

/pdf/can-retail-investor-attention-enhance-market-efficiency-2a3jdy62w3.pdf

Can retail investor attention enhance market efficiency? : Insights from search engine data

Handle everyday research tasks with reliable, citation-backed results

Your personal Research Agent to handle research tasks with citation-backed results

Popular Tasks used by Researchers

How can I help with your research?

Meet SciSpace

Get more enhanced response by uploading the PDFs you want me to reference.

No relevant PDFs in your library

SciSpace is the AI research assistant for academics. Run systematic literature reviews on 280M+ papers, and write papers with cited sources. Trusted by 1M+ students, PhDs & researchers.

SciSpace | AI for Research

Analyze PDFs

Code & Manuscripts

Funding & Grants

Literature & Patents

Medical & Clinical Data

Systematic Review

Visualize & Present

Web & Data

Build a Google Scholar-like website for your research.

Build a website

Create charts and images for your research

Create a Chart

Write a paper for submission to a journal

Draft a manuscript

Patent Search

Design eye-catching scientific posters in minutes.

Scientific Poster Generation

Systematic Literature Review

One task is running at the moment. Your messages will be shown right after.

Drag and drop or click here to browse

Loved by <highlight>1 million+</highlight> researchers

Extract a list of specific topics and their sources from unstructured text

Topics

Compare and analyze relevant papers that matches with your search

Papers

Get insights from PDFs and bookmarked papers from your library

My library

Recent searches

Try searching for:

Catch AI-generated content in scholarly and non-scholarly content

{ai} Detector

Ai Writer

Get PDF Summaries, highlighted text explanations 

Chat with PDF

Effortlessly create in-text citations and bibliographies in APA and 2,500 other formats

Citation generator

Get explanations, summaries, and answers on academic papers

Ease up your research workflow with {scispace}'s cohort of exciting AI tools

Elevate your academic writing skills and convey your ideas the way you want

Paraphraser

Explore our range of reading and writing tools

Your file is being prepared and should be ready in a few minutes. If it's a large file, it might take a bit longer. You can close this window, and we'll email you the file when it's done.

You have reached a maximum limit of <strong>{limit}</strong> columns in the table. Remove at least <strong>1</strong> column to add or create another one.

Konstantin Storms

Author Tools

Chat about Author

Papers

Can retail investor attention enhance market efficiency? : Insights from search engine data

In Search of Alpha - Trading on Limited Investor Attention