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In Search of Concepts: The Effects of Speculative Demand on Stock Returns
Author(s) -
Gwilym Owain Ap,
Hasan Iftekhar,
Wang Qingwei,
Xie Ru
Publication year - 2016
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/eufm.12067
Subject(s) - proxy (statistics) , stock (firearms) , economics , financial economics , monetary economics , speculative demand , market efficiency , stock market , interest rate , demand for money , mechanical engineering , paleontology , horse , machine learning , computer science , engineering , biology
Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand aects 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.