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In Search of Concepts: The Effects of Speculative Demand on Stock Returns

ap Gwilym, O. and Hasan, I. and Wang, Q. and Xie, R. (2015) In Search of Concepts: The Effects of Speculative Demand on Stock Returns. European Financial Management. DOI: 10.1111/eufm.12067 (In Press)

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Abstract

Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand a�ects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.

Item Type: Article
Subjects: Research Publications
Departments: College of Business, Law, Education and Social Sciences > Bangor Business School
Date Deposited: 21 Aug 2015 02:47
Last Modified: 23 Sep 2015 02:45
ISSN: 1354-7798
URI: http://e.bangor.ac.uk/id/eprint/5261
Identification Number: DOI: 10.1111/eufm.12067
Publisher: John Wiley & Sons
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