Does Individual Investor Attention to Accounting Information Influence the Pricing of Stocks?

50 Pages Posted: 4 Mar 2020 Last revised: 4 May 2020

Date Written: May 4, 2020


Individual investors’ processing of information is conventionally considered to be less efficient than that of more sophisticated institutional investors. Using Google Trends’ daily search volume index, I create a firm-specific measure of individual investors’ attention to accounting information, such as financial reports and earnings, relative to other value-relevant information, such as price trends. I investigate whether capital market anomalies are attenuated or exacerbated when individual investors allocate more attention to accounting information. I find that when individual-investor attention to accounting information is high, reactions to earnings announcements are stronger and the post-earnings announcement drift and the profit anomaly are weaker. However, the accrual anomaly is stronger, which is not the case when sophisticated-investor attention is high. Under the premise that anomalies indicate inefficiencies, this study provides evidence that individual investors’ acquisition of accounting information does not necessarily contribute to informationally efficient capital markets.

Keywords: investor attention, individual investors, capital market anomalies, capital market efficiency, information processing costs, internet search traffic

JEL Classification: D83, G14, M41

Suggested Citation

Song, Shiwon, Does Individual Investor Attention to Accounting Information Influence the Pricing of Stocks? (May 4, 2020). INSEAD Working Paper No. 2020/15/ACC, Available at SSRN: or

Shiwon Song (Contact Author)

INSEAD ( email )

Boulevard de Constance
77305 Fontainebleau Cedex

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics