Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea

Abstract

Recent studies have used internet search volume as a measure of investor attention. In addition, literature argues that limited investor attention contributes to market underreaction to public information such as earnings announcements. We show that firms with more investor attention captured by abnormal internet search frequency have stronger announcement-day reactions and weaker post-earnings-announcement drift. The effect of abnormal search frequency is stronger for medium and small-sized firms, which usually receive insufficient attention. Our evidence indicates that firms with higher search intensity are traded more, especially by individual investors. Moreover, we imply that it is a sustainable development for investors to be able to use public information through the internet for investment in stock markets.

Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention

“…Since the introduction of investor attention to the financial market, numerous studies have adopted several indicators to represent this variable. For example, [8,9,[34][35][36][37][38][39][40][41][42][43][44][45]. All the previous investigations prove that investor attention surely affects asset characteristics.…”

“…Thus, in this paper, in order to fully investigate the influence of investor attention on cotton volatility, we particularly focused on this potential nonlinear aspect. The nonlinear regression model used in this paper is shown below in Equation (8). Similarly, the lag length was set to 4 for the short and medium term and 1 for the long term.…”

“…In recent years, behavioral finance theory has rapidly developed. The emerging theory analyzes the financial markets from the perspective of cognitive psychology and argues that investor attention plays a crucial role in defining the characteristics of financial markets [6][7][8][9]. Considering the dramatic fluctuations and research puzzles in the cotton futures market, as well as the crucial roles of behavior finance in asset pricing, it is of particular interest to introduce investor attention to the cotton market and link the two issues for a comprehensive investigation.…”

The Influence of CSR Dimension on Investor Attention During the Covid-19

“…Investor attention to firm information might be one of the key factors influencing market circumstances (Wang, Xu, & Sharma, 2021). Investor attention is informative for the stock market (Wang, Xu, & Sharma, 2021), especially in light of current conditions that allow investors to obtain public information in the stock market via the internet (Chae, Kim, & Han, 2020). Companies that receive a lot of attention are more likely to have negative stock returns (Lee, Lee, & Kim, 2021).…”