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Open source information, investor attention, and asset pricing

Author

Listed:
  • Zhang, Wei
  • Shen, Dehua
  • Zhang, Yongjie
  • Xiong, Xiong

Abstract

In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered. Secondly, the Main Board is more efficient than the ChiNext and the SME Board in the view of informational efficiency. Thirdly, investor attention exhibits strong contemporary relationship with abnormal return. Fourthly, open source information can enhance the speed of information dissemination and make the market efficient.

Suggested Citation

  • Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013. "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, vol. 33(C), pages 613-619.
    • Handle: RePEc:eee:ecmode:v:33:y:2013:i:c:p:613-619
    DOI: 10.1016/j.econmod.2013.03.018
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    More about this item

    Keywords

    Baidu Index; Investor attention; Market efficiency; Granger causality; Psychological biases;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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