Abstract

http://ssrn.com/abstract=1786762
 
 

Citations (1)



 


 



Retail Investor Attention and Stock Liquidity


Rong Ding


University of Southampton

Wenxuan Hou


University of Edinburgh - Business School; European Corporate Governance Institute

October 1, 2014


Abstract:     
We use the search volume index (SVI) of the stock ticker provided by Google Trends to capture the active attention that retail investors pay to the S&P 500 stocks. Based on the analysis of data from 2004 to 2009, we show that the majority of the variation in SVI cannot be explained by passive attention measures, including Google News coverage and advertising expenditure. We find that retail investor attention, reflected by the level and change in SVI, significantly enlarges the shareholder base and improves stock liquidity. The results are robust to the control of selection effects with propensity score matching.

Number of Pages in PDF File: 43

Keywords: Investors attention, breadth of ownership, liquidity, bid-ask spread, search volume index, media coverage, SVI, Google, Google Trends, Google News

JEL Classification: G10, G14

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Date posted: March 20, 2011 ; Last revised: October 8, 2014

Suggested Citation

Ding, Rong and Hou, Wenxuan, Retail Investor Attention and Stock Liquidity (October 1, 2014). Available at SSRN: http://ssrn.com/abstract=1786762 or http://dx.doi.org/10.2139/ssrn.1786762

Contact Information

Rong Ding
University of Southampton ( email )
Highfield Campus
Southampton, SO17 1BJ
United Kingdom
Wenxuan Hou (Contact Author)
University of Edinburgh - Business School ( email )
University of Edinburgh
29 Buccleuch Place
Edinburgh, Scotland EH8 9JS
United Kingdom
HOME PAGE: http://www.wenxuanhou.com
European Corporate Governance Institute ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
HOME PAGE: http://www.ecgi.org/members_directory/member.php?member_id=1417
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