Limited attention, salience of information and stock market activity

被引：19
作者：
Ramos, Sofia B. [1 ]
Latoeiro, Pedro [2 ]
Veiga, Helena [3 ,4 ,5 ]
机构：
[1] ESSEC Business Sch Paris Singapore, Paris, France
[2] Argentina Embassy, Lisbon, Portugal
[3] Univ Carlos III Madrid, Dept Stat, Madrid, Spain
[4] Univ Carlos III Madrid, Inst Flores Lemus, Madrid, Spain
[5] BRU BRU IUL, Ave Forcas Armadas, P-1600083 Lisbon, Portugal
来源：
ECONOMIC MODELLING | 2020年 / 87卷
关键词：
52-week high prices; Behavioral finance; Google search volume index; Investor attention; Predictability; Salience; INVESTOR ATTENTION; DEMAND CURVES; GOOGLE SEARCH; 52-WEEK; MOMENTUM; PRICES; GOLD; UNCERTAINTY; ASYMMETRY; BEHAVIOR;
D O I：
10.1016/j.econmod.2019.07.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
It is now widely recognized in the literature that individuals have limited attention and that salient information plays a key role in individuals choices. We analyze the salience of two sources of information for investors: firm-specific and market. Salient information on firm and market levels is captured by 52-week highs and low indicators while investor attention is filtered by Google web searches. Results show that web searches is a predictor of volume, volatility and returns, and the effects are stronger when using market information. Our findings help to better understand the sources of information that lead individuals in making investment decisions.
引用
收藏
页码：92 / 108
页数：17
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