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Investigating proxies for retail investor attention in financial markets

Author

Listed:
  • Daniel Cahill
  • Zhangxin (Frank) Liu
  • Lee A. Smales

Abstract

Investor attention influences financial markets but “depends on where you search” (Ben‐Rephael et al., The Review of Financial Studies, 2017, 30, 3009). We explore various retail investor attention proxies and their correlations with company characteristics and market reactions. Individually, retail attention proxies have a similar positive association with post‐earnings cumulative abnormal returns; however collectively, only abnormal Twitter (now X) attention remains significant after accounting for other retail attention metrics. Simultaneously high abnormal attention in all proxies captures a subsample that exhibits a post‐earnings announcement drift, contradicting the hypothesis that higher investor attention attenuates such drifts. Using vector autoregression, we find Twitter attention leads other retail attention proxies.

Suggested Citation

  • Daniel Cahill & Zhangxin (Frank) Liu & Lee A. Smales, 2025. "Investigating proxies for retail investor attention in financial markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 65(1), pages 521-550, March.
    • Handle: RePEc:bla:acctfi:v:65:y:2025:i:1:p:521-550
    DOI: 10.1111/acfi.13338
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    References listed on IDEAS

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