In Search of Attention

被引：1993

作者：

Da, Zhi ^{[1
]}

Engelberg, Joseph ^{[2
]}

Gao, Pengjie ^{[1
]}

机构：

[1] Univ Notre Dame, Notre Dame, IN 46556 USA

[2] Univ Calif San Diego, San Diego, CA 92103 USA

来源：

JOURNAL OF FINANCE | 2011年 / 66卷 / 05期

关键词：

INITIAL PUBLIC OFFERINGS; INVESTOR SENTIMENT; CROSS-SECTION; PARTIAL ADJUSTMENT; MARKET; RETURN; EQUILIBRIUM; UNDERWRITER; INFORMATION; DEALERS;

D O I：

10.1111/j.1540-6261.2011.01679.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the year. It also contributes to the large first-day return and long-run underperformance of IPO stocks.

引用

页码：1461 / 1499

页数：39

共 56 条

[31] THE UNDERPRICING OF INITIAL PUBLIC OFFERINGS AND THE PARTIAL ADJUSTMENT PHENOMENON [J].