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Open source information, investor attention, and asset pricing

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  • Zhang, Wei
  • Shen, Dehua
  • Zhang, Yongjie
  • Xiong, Xiong
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 33 (2013)
    Issue (Month): C ()
    Pages: 613-619

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    Handle: RePEc:eee:ecmode:v:33:y:2013:i:c:p:613-619

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    Web page: http://www.elsevier.com/locate/inca/30411

    Related research

    Keywords: Baidu Index; Investor attention; Market efficiency; Granger causality; Psychological biases;

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    Cited by:
    1. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 399(C), pages 70-74.

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