报告主题：ItDepends on When You Search: Weekend Searches and Retail Investor Attention

报告人：刘先伟  博士（哈尔滨工业大学）

时间：2017年10月31日（星期二），下午2:00-3:00

举行地点：综合楼802会议室

内容提要：

The effects of online search draw manyattentions of researchers from different areas and show strong predictabilitieson stocks price, firm sales, and influenza spread. Recent studies proposeonline search frequency for stocks as a direct and timely measure of investorattention. We test the theories on limited investor attention and propose thatsearching under different circumstances do not guarantee equal amount ofattention. Weekend search better captures retail investors’ attention and hashigher predictability for short-term stock price while weekday search has morenoise and lower predictability. Using data from the S&P 500 stocks and thedaily search volume index (SVI) from Google Trends, we construct a weekendsearch measure and find that, different from previous studies, our retailinvestor attention measure can predict returns of large stocks in the S&P500. We further extend our results to the emerging Chinese stock markets withCSI 300 stocks and the Baidu index. Finally, we explore the influencing factorsof retail investor attention such as investor sentiment. The above results arerobust when we include holidays or redefine the order of days in a week.