In Search of Attention

• 成果类型: Article
• 署名作者: Da, Zhi; Engelberg, Joseph; Gao, Pengjie
• 署名单位: University of Notre Dame; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01679.x
• 发表日期: 2011
• 页码: 1461-1499
• 关键词: initial public offerings; Investor sentiment; cross-section; PARTIAL ADJUSTMENT; MARKET; return; equilibrium; underwriter; INFORMATION; Dealers

摘要

We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the year. It also contributes to the large first-day return and long-run underperformance of IPO stocks.