Abstract
Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand affects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.
Original language | English |
---|---|
Pages (from-to) | 427 - 449 |
Number of pages | 23 |
Journal | European Financial Management |
Volume | 22 |
Issue number | 3 |
Early online date | 30 Jul 2015 |
DOIs | |
Publication status | Published - 2 Jun 2016 |
Fingerprint
Dive into the research topics of 'In Search of Concepts: The Effects of Speculative Demand on Stock Returns'. Together they form a unique fingerprint.Profiles
-
Ru Xie
- Management - Senior Lecturer (Associate Professor)
- Accounting, Finance & Law
Person: Research & Teaching