Public Attention, Adverse Selection, and the Pricing of Stocks

Bank, Matthias; Peter, Georg

doi:10.2139/ssrn.1481314

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2017

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“…The positive excess motivates more investors to buy the stock. They reciprocally push each other, because Bank and Peter showed that stocks grabbing more attention may enjoy a continuous increase in price due to the attention induced boom [8]. After the increase in stock price, investors might believe the winning position is accomplished by their accurate prediction of the market trend, and would be trapped in self-attribution bias and further establish their position in these stocks.…”

Section: Sample Constructionmentioning

confidence: 99%

Public Attention Helps Stocks Survive During Circuit-Breaker Period in China

Wei¹

2017

Proceedings of 3rd International Symposium on Social Science (ISSS 2017)

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The relationship between public attention and stock has been researching for years in the field of behavioral finance. This paper studied the effect of public attention on excess return under extreme market condition of the 4-day circuit-breaker period of China in 2016. After constructing the sample from Wind dataset, we found that there exists a significant positive relationship between excess return of a stock and incremental proportion of discussion on a particular stock. We conjecture that this effect on stock returns is due to the change in public attention. This characteristic is helpful when investors want to hedge or generate excess return under extreme market condition.

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Section: Sample Constructionmentioning

confidence: 99%

Public Attention Helps Stocks Survive During Circuit-Breaker Period in China

Wei¹

2017

Proceedings of 3rd International Symposium on Social Science (ISSS 2017)

View full text Add to dashboard Cite

show abstract

Public Attention, Adverse Selection, and the Pricing of Stocks

Cited by 1 publication

References 55 publications

Public Attention Helps Stocks Survive During Circuit-Breaker Period in China

Public Attention Helps Stocks Survive During Circuit-Breaker Period in China

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