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Retail investor attention and stock liquidity

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Ding, Rong and Hou, Wenxuan (2015) Retail investor attention and stock liquidity. Journal of International Financial Markets, Institutions and Money, 37 . pp. 12-26. doi:10.1016/j.intfin.2015.04.001 ISSN 1042-4431.

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Official URL: http://dx.doi.org/10.1016/j.intfin.2015.04.001

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Abstract

We use the search volume index (SVI) of the stock ticker provided by Google Trends to capture the active attention that retail investors pay to stocks. Based on the analysis of S&P500 stocks from 2004 to 2009, we show that the majority of the variation in SVI cannot be explained by passive attention measures, including Google News coverage and advertising expenditure. We find that retail investor attention, reflected by the level and change in SVI, significantly enlarges the shareholder base and improves stock liquidity. The results are robust to the control of endogeneity issues.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Accounting
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of International Financial Markets, Institutions and Money
Publisher: Elsevier Inc.
ISSN: 1042-4431
Official Date: July 2015
Dates:
DateEvent
July 2015Published
16 April 2015Available
7 April 2015Accepted
Volume: 37
Page Range: pp. 12-26
DOI: 10.1016/j.intfin.2015.04.001
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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