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- Title
In Search of Concepts: The Effects of Speculative Demand on Stock Returns.
- Authors
Gwilym, Owain Ap; Hasan, Iftekhar; Wang, Qingwei; Xie, Ru
- Abstract
Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand affects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.
- Subjects
RATE of return on stocks; INVESTMENT policy; SECURITIES trading volume; STOCK exchanges; INDIVIDUAL investors
- Publication
European Financial Management, 2016, Vol 22, Issue 3, p427
- ISSN
1354-7798
- Publication type
Article
- DOI
10.1111/eufm.12067