Narrow Results

Given that renminbi always breaks the historical high against USD, psychological literature on limited investor attention motivates me to consider whether this eye-grabbing event would have an impact on renminbi trading. Empirical evidence suggests that both nearness to the historical high and hitting the historical high negatively affect renminbi future returns. This result survives from a variety of robustness checks. My findings are consistent with the conservatism theory and suggest that investors tend to under-react in response to the news of breaking the historical high.

This study examines the impact of investor attention on the fund inflows and survival of newly issued equity and bond funds. We employ the residual search volume index (RSVI) from Google Trends to directly measure investor attention to a mutual fund. We find that the RSVI is positively related to fund inflows for both new equity and bond funds. However, the RSVI is only positively related to the probability of survival for new equity funds, not for new bond funds. These results suggest that in addition to traditional channels such as advertising and sales forces, the Internet can serve as an alternative and effective tool for marketing and product distribution in the mutual fund industry.

This paper studies the effect of advertising on stock returns both in the short and in the long run. We find that a greater amount of advertising is associated with a larger stock return in the advertising year but a smaller stock return in the year subsequent to the advertising year, even after we control for other price predictors, such as size, book-to-market, and momentum. We conjecture that advertising affects stock returns by attracting investors’ attention to the firm’s stock. Stock price increases in the advertising year due to the attracted attention, but decreases in the subsequent year as the attracted attention wears out over time. We test this investor attention hypothesis and document consistent findings. We find that advertising increases a firm’s visibility among investors in the advertising year. We further find that the negative effect of advertising on the long-run reversal in stock returns is more pronounced if a firm attracts greater investor attention in the advertising year, or if investors face a larger cost of short selling the firm’s stock. It is also more pronounced for small firms, value firms, and firms with poor ex-ante stock or operating performance. Finally, we find that the effect of advertising on future stock returns is stronger when advertising increases compared to the case when advertising decreases.

This research aims to examine the relationship between Cardano (ADA) return, which is used as a proxy for green cryptocurrency, and Google search volume (GSV), which is used as a proxy for investor attention. The weekly data cover the period from January 2018 to June 2022. To analyse the causal relationship between investor attention and Cardano returns, the VAR model and Granger causality tests are implemented. As a result, it is found that there is a bidirectional relationship between Cardano returns and investor attention. However, while changes in investor attention have little impact on the Cardano returns, changes in Cardano returns have a substantial impact on investors’ search intensity. Finally, it is concluded from the VAR results that both variables positively affect each other.

This study examines the impact of investor attention on the fund inflows and survival of newly issued equity and bond funds. We employ the residual search volume index (RSVI) from Google Trends to directly measure investor attention to a mutual fund. We find that the RSVI is positively related to fund inflows for both new equity and bond funds. However, the RSVI is only positively related to the probability of survival for new equity funds, not for new bond funds. These results suggest that in addition to traditional channels such as advertising and sales forces, the Internet can serve as an alternative and effective tool for marketing and product distribution in the mutual fund industry.

This study investigates how information flow affects the determinants of stock price synchronicity, with a focus on the role of investors’ information demand and supply. We analyze quarterly data for S&P500 constituents from 2010 to 2020, using Google search volume index and media coverage as a proxy for information demand and supply, respectively. Our results show that higher information demand lowers stock price synchronicity, as greater interest in a firm exposes more firm-specific information. We also find a negative association between media coverage and stock price synchronicity, implying that media coverage helps stock prices better reflect firm-specific information. The tone of news further moderates this negative effect. However, our analysis does not confirm a stronger negative relationship between media coverage and stock price synchronicity for firms with more opaque information environments. Overall, our study offers new insights into the impact of information flow on stock price synchronicity, benefiting investors and policy makers in portfolio allocation and financial market monitoring.