Investor Attention, Institutional Ownership, and Stock Return: Empirical Evidence from China

Qin, Ying; Kong, Dongmin; Luo, Danglun

doi:10.1080/1540496x.2015.1046339

Cited by 64 publications

(29 citation statements)

References 31 publications

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“…Eventually, as for volatility of returns, although risk and return trade-off theory illustrates stocks with higher volatility have higher returns, Ang et al [25] found that Table 8 further suggests that investor attention has a positive and significant effect on stock returns. This result is consistent with either Da, Engelberg, and Gao [22] or Ying, Kong and Luo [31], arguing that higher investor attention can generate a greater buying pressure and thus raise stock prices and the short-term holding period returns. Meanwhile, we find that the media effect is no longer significant after controlling for the measure of investor attention, which is consistent with our earlier hypothesis that the investor attention is the intermediate channel and the key mechanism supporting the positive media effect on stock returns in China's stock market.…”

Section: Further Explanation and Explorationsupporting

confidence: 79%

“…According to the existing literature [30][31][32], growth stocks with a higher price to equity ratio tend to have attracted more investor attention. To verify the validity of "attention-driven buying" theory to explain our main empirical results, we further test how the effect of media coverage on stock returns differ in stocks with different implied growth level measured by price to equity ratio.…”

Section: Further Explanation and Explorationmentioning

confidence: 99%

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Media Coverage and Sustainable Stock Returns: Evidence from China

et al. 2019

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This paper explores the relationship between media coverage and stock returns using monthly data of news reports from major Chinese newspapers. We find that firms with higher media coverage in the current month have higher sustainable stock returns in the following months over a one-year period compared with those with lower media coverage, which means that media coverage has a more significant and positive influence on sustainable stock returns in the markets, dominated by individual/immature investors. These results are largely robust to various robustness checks. Further empirical results demonstrate that in the Chinese stock market, a higher level of media coverage might cause higher sustained investor attention, which may drive up the buying pressure and thus lead to higher sustainable stock returns in the following year. Our results show that the effect of media coverage on stock returns depends on the characteristics of investors.

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Section: Further Explanation and Explorationsupporting

confidence: 79%

Section: Further Explanation and Explorationmentioning

confidence: 99%

Media Coverage and Sustainable Stock Returns: Evidence from China

et al. 2019

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“…For example, see Aouadi et al (2013) for France, Bank et al (2011) for Germany, Ying et al (2015) for China, Takeda and Wakao (2014) for Japan, Tantaopas et al (2016) for the Asia-Pacific countries, and Da et al (2011) for the U.S. characteristics (fixed effect) in each country sample, showing that limited investor attention violates the efficient market hypothesis. However, among three attention-stock market activity relationships, only the attention-trading volume relationship is statistically significant for the developing markets.…”

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confidence: 99%

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Padungsaksawasdi

Treepongkaruna

Brooks

2019

IJFS

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Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

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“…First, 80% of investors in China are individual investors. These investors trade very frequently and are highly short-term oriented (Allen, Qian, & Qian, 2005;Dong & Gou, 2010;Ying, Kong, & Luo, 2015).…”

Section: Further Discussionmentioning

confidence: 99%

Can online annual general meetings increase shareholders’ participation in corporate governance?

Gao

Huang

Zhang

2020

Financial Management

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We find that annual shareholder meetings conducted online can significantly increase the participation of shareholders, especially minority shareholders. This finding is more evident when the cost of physically attending the annual meeting is higher and when the firm's ownership is more dispersed. We further document significant positive stock returns when firms initiate annual online meetings. We also find that such online meetings help improve corporate governance. Overall, we provide evidence that online shareholder meetings provide shareholders a cost-effective way to participate in governance issues.

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Investor Attention, Institutional Ownership, and Stock Return: Empirical Evidence from China

Abstract: Zheng, L. (1999). Is money smart? A study of mutual fund investors' fund selection ability. The Journal of Finance, 54(3), 901-933.

Cited by 64 publications

References 31 publications

Media Coverage and Sustainable Stock Returns: Evidence from China

Media Coverage and Sustainable Stock Returns: Evidence from China

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Can online annual general meetings increase shareholders’ participation in corporate governance?

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