In Search of Concepts: The Effects of Speculative Demand on Stock Returns. (30th July 2015)

• Record Type: Journal Article
• Authors: Gwilym, Owain Ap; Hasan, Iftekhar; Wang, Qingwei; Xie, Ru
• Is Part Of: European financial management. Volume 22:Number 3(2016:Jun.)
• Page Start: 427
• Page End: 449
• Publication Date: 2015-07-30
• Subjects: investment concepts -- speculative demand -- investor attention -- market returns -- trading volume; Finance -- European Union countries -- Periodicals; International finance -- Periodicals; Corporations -- European Union countries -- Finance -- Periodicals; 332.094
• DOI: 10.1111/eufm.12067
• Languages: English
• ISSNs: 1354-7798

Abstract

Abstract: Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand affects 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.