In Search of Concepts: The Effects of Speculative Demand on Stock Returns

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• 作者：Owain Ap Gwilym ; Iftekhar Hasan ; Qingwei Wang and Ru Xie
• 刊名：European Financial Management
• 出版年：2016
• 出版时间：June 2016
• 年：2016
• 卷：22
• 期：3
• 页码：427-449
• 全文大小：556K
• ISSN：1468-036X

文摘

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.