1CREGO - Centre de Recherche en Gestion des Organisations (EA 7317) (Université de Bourgogne - Pôle d'économie et de gestion - 2 boulevard Gabriel - BP 26611 - 21066 DIJON CEDEX;
Université de Franche Comté - 1 rue Goudimel - 25030 Besançon cedex ;
Université de Haute-Alsace - 16 rue de la Fonderie - 68093 MULHOUSE Cedex - France)
Abstract : Traditional finance theory considers that the impact of noise traders' attention on asset prices is offset by attention from smart investors. This paper uses online search data to study the influence of noise traders and smart investors on stock returns and volatility. Adopting an original approach, we construct a proxy for smart investor attention based on investors' online search behavior provided by Wikipedia Page Traffic. We combine this new measure with a standard measure of noise traders' attention as proxied by Google Search Volume Index. We show for a sample of 87 French firms over the period 2008–2018 that only noise traders' attention influences stock returns. Noise traders' attention increases volatility by creating an extra risk that is priced into the market. Conversely, smart investors' attention decreases volatility because their presence stabilizes stock prices by reducing uncertainty. Our empirical results support a behavioral explanation of stock prices.
https://hal-univ-bourgogne.archives-ouvertes.fr/hal-02065042 Contributeur : CREGO - université de BourgogneConnectez-vous pour contacter le contributeur Soumis le : vendredi 26 novembre 2021 - 18:01:36 Dernière modification le : mercredi 6 avril 2022 - 15:46:02 Archivage à long terme le : : dimanche 27 février 2022 - 20:11:18