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Lee A. Smales - One of the best experts on this subject based on the ideXlab platform.
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Investor Attention in cryptocurrency markets
Social Science Research Network, 2021Co-Authors: Lee A. SmalesAbstract:We examine the relationship between Investor Attention, and measures of uncertainty, with the market dynamics of Bitcoin, and other cryptocurrencies. We find that increases in Investor Attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency markets. In contrast, cryptocurrency uncertainty (UCRY) and financial market uncertainty (VIX) are also positively related to volatility and illiquidity but have a negative contemporaneous relationship with returns. The identified relationships are accentuated during the COVID-pandemic, and are robust to different measures of Investor Attention, volatility, and illiquidity. Our results suggest that monitoring Investor Attention could be informative for both Investors and policymakers.
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Investor Attention and Global Market Returns during the COVID-19 Crisis
International Review of Financial Analysis, 2021Co-Authors: Lee A. SmalesAbstract:The financial market response to the COVID-19 pandemic provides the first example of a market crash instigated by a health crisis. The crisis provides a unique setting in which to examine the market response to changes in Investor Attention. We utilise Google search volume (GSV) as a proxy for Investor Attention. GSV for the “coronavirus” keyword increases substantially from late-February and peaks in mid-March before declining substantially. Our results are broadly consistent with Da et al. (2015), indicating that GSV is primarily a proxy for the Attention of retail Investors and confirming that Investor Attention negatively influences global stock returns. A rise in the number of internet searches during the COVID-19 crisis induces a faster rate of information flow into financial markets and so is also associated with higher volatility. The identified relationships are economically and statistically significant even after controlling for the number of new COVID-19 cases and various macroeconomic effects. Increases in GSV have less impact on government bond yields, with Italian yields rising with Investor Attention. The more limited role of GSV is likely due to lower participation of retail Investors in bond markets. The results suggest that, rather than searching for information on potential stocks to buy (Barber and Odean, 2008), retail Investors are searching for information to resolve uncertainty about household FEARS (Da et al., 2015) during the COVID-19 crisis.
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Investor Attention and the response of us stock market sectors to the covid 19 crisis
Review of Behavioral Finance, 2020Co-Authors: Lee A. SmalesAbstract:Purpose: COVID-19 has had an immense impact on global stock markets, with no sector escaping its effects Investor Attention towards COVID-19 surged as the virus spread, the number of cases grew and its consequences imposed on everyday life We assess whether this increase in Investor Attention may explain stock returns across different sectors during this unusual period Design/methodology/approach: We adopt the methodology of Da et al (2015), using Google search volume (GSV) as a proxy for Investor Attention to examine the relationship between Investor Attention and stock returns across 11 sectors Findings: Our results demonstrate that heightened Attention towards COVID-19 negatively influences US stock returns However, relatively speaking, some sectors appear to have gained from the increased Attention This outperformance is centred in the sectors most likely to benefit (or likely to lose least) from the crisis and associated spending by households and government (i e consumer staples, healthcare and IT) Such results may be explained by an information discovery hypothesis in the sense that Investors are searching online for information to enable a greater understanding of COVID-19's impact on relative stock sector performance Originality/value: While we do not claim that Investor Attention is the only driver of stock returns during this unique period, we do provide evidence that it contributes to the market impact and to the heterogeneity of returns across stock market sectors © 2020, Emerald Publishing Limited
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Investor Attention and the response of us stock sectors to the covid 19 crisis
Social Science Research Network, 2020Co-Authors: Lee A. SmalesAbstract:COVID-19 has had an immense impact on global stock markets, with no sector escaping its effects. Investor Attention toward COVID-19 surged as the virus spread and its consequences imposed on everyday life. Using Google search volume (GSV) as a proxy for Investor Attention, our results show that heightened Attention towards COVID-19 negatively influences US stock returns. However, relatively speaking, some sectors appear to have gained from the increased Attention. This outperformance is centred in the sectors most likely to benefit (or likely to lose least) from the crisis and associated spending by households and government (i.e. Consumer Staples, Healthcare, and I.T.). Such results may be explained by an information discovery hypothesis in the sense that Investors are searching online for information to enable a greater understanding of COVID-19’s impact on stock performance. While we do not claim that Investor Attention is the only driver of stock returns during the crisis, we do provide evidence that it contributes to the market impact and to the heterogeneity of returns across stock market sectors.
Libo Yin - One of the best experts on this subject based on the ideXlab platform.
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our currency your Attention contagion spillovers of Investor Attention on currency returns
Economic Modelling, 2019Co-Authors: Liyan Han, Libo YinAbstract:Abstract: This study investigates financial contagion among currency markets through the novel channel of Investor Attention measured by Google search volume index (SVI). These contagion spillovers, generated rapidly, are mainly positive and relatively short-lived. The effects are more remarkable for lagged currency Attention from developed markets on emerging currency returns. Besides, the effects are barely affected by additionally controlling for liquidity, which means that Investor Attention plays an indispensable role in financial contagion. Additionally, past currency appreciation negatively impacts contagion spillovers of Attention on present currency returns. Hence, increased Attention diminishes the return predictability and therefore alleviates market inefficiency. Furthermore, we corroborate that Investor Attention provides a statistically significant out-of-sample forecast on currency returns, which is congruent with the previous in-sample results. Overall, our findings support the Attention reallocation channel as an important contagion mechanism among currency markets and show that Attention works as a predictive variable.
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forecasting the cny cnh pricing differential the role of Investor Attention
Pacific-basin Finance Journal, 2018Co-Authors: Liyan Han, Libo YinAbstract:Abstract As the exponential expansion in the international use of RMB, the issues concerning “one currency, two markets” have attracted increasing Attentions from both policymakers and academics. We investigate the forecast power of Investor Attention for the CNY-CNH pricing differential. Investor Attention displays statistically and economically significant in-sample and out-of-sample predictability of the CNY-CNH pricing gap at both weekly and monthly frequencies. Also, Investor Attention provides more useful information than macro variables for detecting the typical rise (decline) behavior near a CNY-CNH differential peak (trough). In addition, Investor Attention generates substantial economic values in asset allocation exercise. Moreover, we demonstrate that Investor Attention provides statistically and economically significant out-of-sample forecast for the CNY and CNH carry trade.
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Investor Attention and currency performance international evidence
Applied Economics, 2018Co-Authors: Liyan Han, Libo YinAbstract:This article investigates the relationship between Investor Attention measured by Google search volume index and the performance of several currencies. We find that currency performance is remarkab...
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does Investor Attention matter the Attention return relationships in fx markets
Economic Modelling, 2018Co-Authors: Liyan Han, Libo YinAbstract:Abstract We empirically investigate whether Investor Attention matters for the movements of exchange rates from nine countries by utilizing Google Search Volume as the proxy for Attention. In-sample results demonstrate mutiplicate relationships between Investor Attention and currency returns. (1) Lagged Investor Attention significantly influences currency returns at present, and this effect is short-lived (usually at first lag). (2) The sign of past currency return matters for the magnitude of effects of Investor Attention on current return. Typically, the influence of past returns on the Attention-return relationship alleviates market inefficiency and thus returns are less predictable merely based on past Attention. (3) There exists a nonlinear relationship between Investor Attention and exchange rate returns. Consistent with in-sample results, Investor Attention provides a statistically significant out-of-sample forecast. These empirical findings indicate that Investor Attention contains information that influences the movements of exchange rates.
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Investor Attention and stock returns international evidence
Emerging Markets Finance and Trade, 2017Co-Authors: Liyan Han, Libo YinAbstract:This article examines the asymmetric/discriminative effects of Investor Attention on expected stock returns among 15 markets through economic expansions and recessions. The predictive power of atte...
Jarkko Peltomäki - One of the best experts on this subject based on the ideXlab platform.
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Investor Attention and the use of leverage
Social Science Research Network, 2021Co-Authors: Denis Davydov, Jarkko PeltomäkiAbstract:We investigate the effects of the use of different sources of investment leverage, i.e. securities with embedded leverage and traditional margin accounts, on the portfolio performance of retail Investors, recognizing that these effects may be conditional on Investor Attention. We find that Investors who trade on margin underperform those who do not have margin accounts, but we also find that Investors who trade securities with embedded leverage show an even poorer performance than Investors who trade on margin. The negative effect of leverage usage decreases with greater Investor Attention, measured by portfolio monitoring frequency. These results suggest that more attentive Investors gain more from the use of investment leverage.
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Investor Attention and portfolio performance what information does it pay to pay Attention to
Social Science Research Network, 2019Co-Authors: Denis Davydov, Ian Khrashchevskyi, Jarkko PeltomäkiAbstract:We explore a unique dataset on individual Investors’ online trading accounts to examine the determinants of their Attention and its relation to portfolio performance. In particular, we investigate what individual characteristics affect Investor Attention and what type of information drives investment performance. We find distinct differences in Investors’ Attention and provide evidence that paying Attention has a differential impact on performance depending on the type of information. Portfolio monitoring and Attention to financial education are positively related to performance, while Attention to analytical information is detrimental to performance. Attention to technical analysis is negatively related to the performance of actively trading Investors but improves the performance of less frequent traders. Overall, our results provide additional evidence to the suggestion that Attention to financial education is the key to investment success.
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Investor Attention to market categories and market volatility: The case of emerging markets
Research in International Business and Finance, 2017Co-Authors: Jarkko Peltomäki, Michael Graham, Anton HasselgrenAbstract:This paper examines the impact of Investor Attention on stock market and FX market volatility in emerging economies using newly constructed innovative Attention proxies that capture the full spectrum of the dynamics of the information processing stages. Our results show that the new practical proxies are better at capturing the complex nature of Investor Attention to market categories. We find that Investor Attention explains stock market volatility and shocks to Attention but not FX market volatility in emerging markets. Thus, the emerging stock market, an important segment of the global equity market, is particularly sensitive to changes to Investor Attention.
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Investor Attention to the eurozone crisis and herding effects in national bank stock indexes
Finance Research Letters, 2015Co-Authors: Jarkko Peltomäki, Emilia VahamaaAbstract:In this study, we investigate the relation between Investor Attention to the Eurozone crisis and herding effects in national bank stock indexes across Europe. We especially focus on two different groups of European countries: non-EMU member countries and EMU member countries. Our results suggest that an increased Investor Attention to the Eurozone crisis decreased herding effects in the EMU region in the following week, but the effect was temporary as the effect became the opposite with a two-week lag. Herding effects in the EMU region affected herding effects in the non-EMU region, but not vice versa.
Siew Hong Teoh - One of the best experts on this subject based on the ideXlab platform.
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cater to thy client analyst responsiveness to institutional Investor Attention
Management Science, 2021Co-Authors: Pengchia Chiu, Ben Lourie, Alexander Nekrasov, Siew Hong TeohAbstract:We study how institutional Investor Attention to a firm affects the timeliness of analysts’ forecasts for that firm. We measure abnormal institutional Attention (AIA) using Bloomberg news search ac...
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cater to thy client analyst responsiveness to institutional Investor Attention
2020Co-Authors: Pengchia Chiu, Ben Lourie, Alexander Nekrasov, Siew Hong TeohAbstract:We study how institutional Investor Attention to a firm affects the timeliness of analysts’ forecasts for that firm. We measure abnormal institutional Attention (AIA) using Bloomberg news search activity for the firm on earnings announcement days. We find that analysts issue more timely forecasts when AIA is high on the earnings announcement day. Analyst responsiveness to AIA is stronger when analysts have more resources and experience and weaker when the AIA of other covered firms is high. Analysts who respond more to AIA are more likely to be named all-star analysts and less likely to be demoted to a smaller brokerage. We address endogeneity concerns using a measure of expected AIA that is unaffected by concurrent information. Our findings suggest that responsiveness to institutional Attention influences the production of analyst research and analysts’ career outcomes.
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limited Investor Attention and stock market misreactions to accounting information
Social Science Research Network, 2010Co-Authors: Sonya S Lim, David Hirshleifer, Siew Hong TeohAbstract:We provide a model in which a single psychological constraint, limited Investor Attention, explains both under- and over-reaction to different earnings components. Investor neglect of information in current-period earnings about future earnings induces post-earnings announcement drift and the pro fit anomaly. Neglect of earnings components causes accruals and cash flows to predict abnormal returns. We derive new untested empirical implications relating the strength of the drift, accruals, cash flows, and pro fit anomalies to the forecasting power of current earnings-related information for future earnings, the degree of Investor Attention to different types of information, and the volatilities of and correlation between accruals and cash flows. We also show that owing to costs of Attention, in equilibrium some Investors may decide not to attend to the implications of earnings or its components.
Liyan Han - One of the best experts on this subject based on the ideXlab platform.
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our currency your Attention contagion spillovers of Investor Attention on currency returns
Economic Modelling, 2019Co-Authors: Liyan Han, Libo YinAbstract:Abstract: This study investigates financial contagion among currency markets through the novel channel of Investor Attention measured by Google search volume index (SVI). These contagion spillovers, generated rapidly, are mainly positive and relatively short-lived. The effects are more remarkable for lagged currency Attention from developed markets on emerging currency returns. Besides, the effects are barely affected by additionally controlling for liquidity, which means that Investor Attention plays an indispensable role in financial contagion. Additionally, past currency appreciation negatively impacts contagion spillovers of Attention on present currency returns. Hence, increased Attention diminishes the return predictability and therefore alleviates market inefficiency. Furthermore, we corroborate that Investor Attention provides a statistically significant out-of-sample forecast on currency returns, which is congruent with the previous in-sample results. Overall, our findings support the Attention reallocation channel as an important contagion mechanism among currency markets and show that Attention works as a predictive variable.
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forecasting the cny cnh pricing differential the role of Investor Attention
Pacific-basin Finance Journal, 2018Co-Authors: Liyan Han, Libo YinAbstract:Abstract As the exponential expansion in the international use of RMB, the issues concerning “one currency, two markets” have attracted increasing Attentions from both policymakers and academics. We investigate the forecast power of Investor Attention for the CNY-CNH pricing differential. Investor Attention displays statistically and economically significant in-sample and out-of-sample predictability of the CNY-CNH pricing gap at both weekly and monthly frequencies. Also, Investor Attention provides more useful information than macro variables for detecting the typical rise (decline) behavior near a CNY-CNH differential peak (trough). In addition, Investor Attention generates substantial economic values in asset allocation exercise. Moreover, we demonstrate that Investor Attention provides statistically and economically significant out-of-sample forecast for the CNY and CNH carry trade.
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Investor Attention and currency performance international evidence
Applied Economics, 2018Co-Authors: Liyan Han, Libo YinAbstract:This article investigates the relationship between Investor Attention measured by Google search volume index and the performance of several currencies. We find that currency performance is remarkab...
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does Investor Attention matter the Attention return relationships in fx markets
Economic Modelling, 2018Co-Authors: Liyan Han, Libo YinAbstract:Abstract We empirically investigate whether Investor Attention matters for the movements of exchange rates from nine countries by utilizing Google Search Volume as the proxy for Attention. In-sample results demonstrate mutiplicate relationships between Investor Attention and currency returns. (1) Lagged Investor Attention significantly influences currency returns at present, and this effect is short-lived (usually at first lag). (2) The sign of past currency return matters for the magnitude of effects of Investor Attention on current return. Typically, the influence of past returns on the Attention-return relationship alleviates market inefficiency and thus returns are less predictable merely based on past Attention. (3) There exists a nonlinear relationship between Investor Attention and exchange rate returns. Consistent with in-sample results, Investor Attention provides a statistically significant out-of-sample forecast. These empirical findings indicate that Investor Attention contains information that influences the movements of exchange rates.
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Investor Attention and stock returns international evidence
Emerging Markets Finance and Trade, 2017Co-Authors: Liyan Han, Libo YinAbstract:This article examines the asymmetric/discriminative effects of Investor Attention on expected stock returns among 15 markets through economic expansions and recessions. The predictive power of atte...
