Abstract
This study tracks the daily traffic on the leading financial websites in the US, and uses the attention paid to these websites as a proxy for retailers’ aggregate demand for information. We determine that attention to financial websites is positively correlated with uncertainty and negatively associated with investor sentiment. Furthermore, market shocks drive attention to financial websites, and heightened attention predicts an increase in the following trading day's volatility. Consistent with the information arrival hypothesis, the search for information is higher on Mondays and Tuesdays and lower on weekends. As some retail investors are noise traders, attention to financial websites has a positive effect on volatility and increases trading volume. Finally, using 5-min intraday data, we construct a daily-implied risk aversion proxy and provide evidence supporting the theoretical contention that risk-averse agents gather information as a hedge against uncertainty. However, our findings do not support the avoidance of information theories.
Original language | English |
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Article number | 101450 |
Journal | Journal of Behavioral and Experimental Economics |
Volume | 82 |
DOIs | |
State | Published - Oct 2019 |
Bibliographical note
Publisher Copyright:© 2019 Elsevier Inc.
Keywords
- Attention
- Demand for information
- Investor sentiment
- Noise traders
- Retail investors
- Search engines
- Volatility risk premium
ASJC Scopus subject areas
- Applied Psychology
- Economics and Econometrics
- General Social Sciences