Speculative Attacks and Investor Attention
43 Pages Posted: 22 Dec 2019
Date Written: December 13, 2019
This paper presents the first evidence that retail investors play a central role in a speculative attack. Investigating the attacks that affected several emerging economies in the second semester of 2018, I document a strong influence of investor attention on the price and risk of the currency under attack, and this influence monotonically rises with the increase of the attacks’ severity. Moreover, this association is absent outside of the attacks or for those emerging currencies that did not experience an attack in the sample period. These findings are robust to several alternative explanations and provide further support for the importance of retail investors to asset pricing.
Keywords: Speculative Attacks, Investor attention, Exchange rate, Google Trends.
JEL Classification: F31, F37, G12, G15
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