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Investor Attention and Stock Returns

Citations

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Cited by:

  1. Zhang, Zhi-Yu & Xie, Chi & Wang, Gang-Jin & Zhu, You & Li, Xiao-Xin, 2025. "From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market," Global Finance Journal, Elsevier, vol. 67(C).
  2. Asil Azimli, 2025. "Drivers of market responses to the Silicon Valley Bank’s failure," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(4), pages 501-526, December.
  3. Yuan, Ying & Qu, Yong & Wang, Tianyang, 2025. "Predicting risk premiums: A constraint-based model," Journal of Empirical Finance, Elsevier, vol. 83(C).
  4. Zhang, Yixing & Chen, Chen & Lu, Xiaomeng, 2025. "Determinants of stock attention and behavioral preferences: Evidence from China's retail investors," Finance Research Letters, Elsevier, vol. 86(PD).
  5. Ellington, Michael & Kalli, Maria, 2025. "Predictive distributions and the market return: The role of market illiquidity," European Journal of Operational Research, Elsevier, vol. 323(1), pages 309-322.
  6. Harvey Nguyen & Cameron Truong, 2026. "Lottery Demand and Stock Returns Preceding Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 53(1), pages 32-52, February.
  7. Jiang, Fuwei & Liu, Hongkui & Tang, Guohao & Yu, Jiasheng, 2024. "Global mispricing matters," Journal of International Money and Finance, Elsevier, vol. 147(C).
  8. Yin, Zhujia & Wang, Xingting & Xia, Jiejin & Chang, Chun-Ping, 2026. "Green supply chain management project and firms’ cost of equity capital: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 89(C), pages 1133-1148.
  9. Zhou, Mingtao & Ma, Yong, 2025. "Climate risk and predictability of global stock market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 101(C).
  10. Wen, Danyan & Zhang, Zihao & Nie, Jing & Cao, Yang, 2024. "Investor attention and anomalies: Evidence from the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  11. Liu, Zhenhua & Zhong, Hongyu & Zhang, Deyuan, 2026. "Climate policy uncertainty, investor behavior, and carbon market returns," Journal of Commodity Markets, Elsevier, vol. 41(C).
  12. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2025. "Forecasting gasoline prices using oil prices: New evidence based on the rocket and feather hypothesis," Energy, Elsevier, vol. 335(C).
  13. Xiong, Mengxu & Liu, Chen & Xiang, Junyi, 2024. "How financial derivatives affect energy firms' ESG," Energy Economics, Elsevier, vol. 140(C).
  14. Yang, Mo & Cao, Jiawei & Meng, Yifan & Gong, Hao, 2025. "Managerial integrity and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
  15. Zhufeng Wang & Lu Wang & Zitao Zhang, 2026. "Predicting New Energy Prices: Are Technical Indicators and Regime-Switching Models Helpful?," Evaluation Review, , vol. 50(3), pages 315-345, June.
  16. Zhang, Jixiang & Zeng, Qing & Bouri, Elie & Gozgor, Giray, 2025. "Newly-constructed Chinese geopolitical risk index and trade stock returns," Research in International Business and Finance, Elsevier, vol. 74(C).
  17. Haixu Yu & Chuanyu Liang & Zhaohua Liu & Xue Cui, 2025. "The Effectiveness of News‐Based ESG Sentiment for Predicting Stock Returns: Evidence From China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 65(3), pages 2724-2732, September.
  18. Lei Jiang & Guofu Zhou & Yifeng Zhu, 2025. "Which proxy: Capturing lottery feature through aggregation," Financial Management, Financial Management Association International, vol. 54(2), pages 331-362, June.
  19. Li, Weiping & Zhang, Hanfang & Xia, Jingjing, 2025. "The perils of popularity: Retail investor attention and misguided M&As," Emerging Markets Review, Elsevier, vol. 68(C).
  20. Dai, Zhifeng & Jiang, Fuwei & Kang, Jie & Xue, Bowen, 2025. "Stock return predictability in the frequency domain," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1126-1147.
  21. Miles Gietzmann & Francesco Grossetti & Craig M. Lewis, 2026. "Investor distraction and multi-dimensional financial narrative," Review of Accounting Studies, Springer, vol. 31(1), pages 334-373, March.
  22. Mykola Babiak & Jozef Barunik & Josef Kurka, 2026. "Skewness Dispersion and Stock Market Returns," Papers 2604.07870, arXiv.org.
  23. Zhang, Yuanyuan & Li, Yangyang & Wang, Wenxue, 2026. "Comparative analysis of investor sentiment and attention in the U.S. and Chinese stock markets: Implications for financial stability," International Review of Financial Analysis, Elsevier, vol. 109(C).
  24. Kim, Heeju & Yoo, Hyunjeong, 2025. "A signaling game between retail investors and firms: ESG washing as a strategic response," Finance Research Letters, Elsevier, vol. 83(C).
  25. Ju, Chunhua & Fang, Xusheng & Shen, Zhonghua, 2024. "Investor attention and corporate financialization: Evidence from internet search volume," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  26. Shulin Shen & Le Xia & Yulin Shuai & Da Gao, 2022. "China | Con Big Data medimos el sentimiento de los medios sobre mercados de valores chinos [Measuring news media sentiment using Big Data for Chinese stock markets]," Working Papers 22/05, BBVA Bank, Economic Research Department.
  27. Ma, Yong & Zhou, Mingtao & Li, Shuaibing, 2024. "Weathering market swings: Does climate risk matter for agricultural commodity price predictability?," Journal of Commodity Markets, Elsevier, vol. 36(C).
  28. Xinyue Xue & Jianli Wang & Minghua Dong & Xing Cao, 2026. "Cross‐Channel Tone Volatility and Stock Returns in the Chinese Market," International Review of Finance, International Review of Finance Ltd., vol. 26(2), June.
  29. Seegmiller, Bryan, 2026. "Intermediation frictions in equity markets," Journal of Financial Economics, Elsevier, vol. 176(C).
  30. Liu, Wenwen & Zhao, Peng & Luo, Ziyang & Tang, Miaomiao, 2024. "The dynamic impact of network attention on natural resources prices in pre-and post-Russian-Ukrainian war," Resources Policy, Elsevier, vol. 97(C).
  31. Ting Zhang & Haibin Xie, 2026. "Stock Return Forecasting: A Supervised PCA With Selecting and Scaling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(2), pages 547-562, March.
  32. Wang, Xin & Zhang, Wenting & Tanizaki, Hisashi, 2026. "Does investor attention drive the connectedness across FX, bond, stock, and commodity markets? Evidence from the federal funds rate," International Review of Economics & Finance, Elsevier, vol. 106(C).
  33. Wu, Feng-Lin & Wang, Yu-Shi & Wan, Yu-Fan & Wang, Ming-Hui, 2025. "Does investor attention drive cryptocurrency markets? Insights from network connectedness and portfolio applications," Journal of International Money and Finance, Elsevier, vol. 157(C).
  34. Zhiyong Niu & Chen Wang & Chunyan Wang & Xiaowei Wang & Ziyi Zhu, 2025. "Information interactions on social media platforms and the quality of corporate social responsibility disclosure: Evidence from Chinese listed firms," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 32(1), pages 234-252, January.
  35. Yan, Jingzhou & Shen, Jiahao & Zou, Jin & Zou, Yanchi, 2025. "ESG ratings and attention: The impact on stock market performance," Finance Research Letters, Elsevier, vol. 83(C).
  36. Huiru Wei & Jie Zhang & Kuiran Yuan, 2026. "Can Climate Risk Disclosure Bring Both Economic Performance and Environmental Benefits to Firms: New Insights From the AMC Framework," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 33(4), pages 4623-4642, July.
  37. Duan, Xinrui & Guo, Li & Li, Frank Weikai & Tu, Jun, 2025. "Do factor models capture both sentiment and limited attention?," Journal of Economic Dynamics and Control, Elsevier, vol. 181(C).
  38. Ma, Haiyan & Ma, Xiaoning & Lei, Xue & Jiang, Yu & Li, Yuan, 2026. "When lawsuits speak louder: Litigation risk and corporate financing constraints," Economic Analysis and Policy, Elsevier, vol. 89(C), pages 578-590.
  39. Li, Xiao-Xin & Xie, Chi & Wang, Gang-Jin & Zhu, You & Li, Zhao-Chen & Zhang, Zhi-Yu, 2025. "Enhancing stock market return predictability by using a novel autoencoder-based aggregate EPU index," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
  40. Xiaoqun Liu & Youcong Chao & Yihao Huang & Hangjian Yu, 2026. "Fund Extreme Performance and Heterogeneous Investor Choice: Evidence From Smart Beta ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(7), pages 1213-1233, July.
  41. Ning Tang, 2026. "Financial awareness and retirement savings," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-21, December.
  42. Loang Ooi Kok, 2025. "From Tweets to Trades: The Dynamic Dance of Investor Sentiment, Attention, and News Sentiment in ESG Stocks," China Finance and Economic Review, De Gruyter, vol. 14(1), pages 70-91.
  43. Zhou, Chengchen & Chen, Yajie & Ji, Qiang & Zhang, Dayong, 2025. "Does public attention to biodiversity matter to stock markets?," International Review of Financial Analysis, Elsevier, vol. 98(C).
  44. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
  45. Jia Liao & Xinxue Gao & Yun Zhan & Yu Yuan, 2025. "The Exit Threats of Non-Controlling Large Shareholders and Maturity Mismatch: Evidence from China," SAGE Open, , vol. 15(3), pages 21582440251, August.
  46. Rui Fan & Alex Nikolsko-Rzhevskyy & Oleksandr Talavera, 2025. "Foreign Eyes on Wall Street: Investor Attention and U.S. Stock Reactions," Discussion Papers 25-02, Department of Economics, University of Birmingham.
  47. Yu, Deshui & Tang, Jiachen & Zhou, Mingtao, 2026. "Trade policy uncertainty and stock returns: A tale of two periods," International Review of Financial Analysis, Elsevier, vol. 109(C).
  48. Yuan Zhao & Xue Gong & Weiguo Zhang & Weijun Xu, 2025. "Stock return forecasting based on the proxy variables of category factors," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-48, December.
  49. Le, Anh Tuan & Nguyen, Harvey & Nguyen, Cuong, 2025. "Regret to reward: Investor regret and the cross-sectional stock returns in the Chinese market," Global Finance Journal, Elsevier, vol. 68(C).
  50. Lalwani, Vaibhav, 2025. "Finfluencer recommendations," Economics Letters, Elsevier, vol. 255(C).
  51. Mengxi He & Daxiang Jin & Yaojie Zhang, 2026. "The Role of Lead-lag Effect in Predicting Crude Oil Futures Volatility: Empirical Evidence from China," Computational Economics, Springer;Society for Computational Economics, vol. 67(6), pages 5115-5137, June.
  52. Lin, Jianhao & Fan, Jiacheng & Zhang, Yifan, 2025. "Information Dissemination and the Monetary Policy Uncertainty Premium: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 171(C).
  53. Li, Zijun & Ma, Feng & Zhang, Jixiang & Zhou, Xiaozhou, 2025. "The financial risk concern in China: A powerful predictor of stock market volatility," Research in International Business and Finance, Elsevier, vol. 80(C).
  54. Marmora, Paul, 2023. "Identifying the Effects of Macroeconomic Attention Through Foreign Investor Distraction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(8), pages 3644-3671, December.
  55. Ruan, Qingsong & Li, Chengyu & Lv, Dayong & Wei, Xiaokun, 2025. "Going Green: Effect of green bond issuance on corporate debt financing costs," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  56. Chen, Yan & Liu, Yakun & Bouri, Elie & Zhang, Lei, 2025. "Jump imbalance and Chinese stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
  57. Zhou, Mingtao & Ma, Yong, 2025. "Physical vs. Transition climate risks: Asymmetric effects on stock return predictability," International Review of Financial Analysis, Elsevier, vol. 104(PA).
  58. Gong, Xue & Xu, Weijun & Li, Xiaodan & Gong, Xue, 2024. "Presidential economic approval rating and global foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  59. Zhi Da & Jian Hua & Tim Chih-Ching Hung & Lin Peng, 2025. "Market Returns and a Tale of Two Types of Attention," Management Science, INFORMS, vol. 71(12), pages 10505-10537, December.
  60. Jing Ye & Na Wu, 2026. "Investor Attention and Carbon Prices: Evidence From European Union and China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(2), pages 463-486, February.
  61. Chen, Chen & Stivers, Chris & Sun, Licheng, 2024. "Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio," Journal of Empirical Finance, Elsevier, vol. 79(C).
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