In Search of Concepts: The Effects of Speculative Demand on Stock Returns

Owain Ap Gwilym, Iftekhar Hasan, Qingwei Wang, Ru Xie

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

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 languageEnglish
Pages (from-to)427 - 449
Number of pages23
JournalEuropean Financial Management
Volume22
Issue number3
Early online date30 Jul 2015
DOIs
Publication statusPublished - 2 Jun 2016

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