Publication:
Limited attention, salience of information and stock market activity

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URI: https://hdl.handle.net/10016/34947
ISSN: 0264-9993
DOI: https://doi.org/10.1016/j.econmod.2019.07.010
UXXI: AR/0000025731
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limited_EM_2020_ps.pdf (1.24 MB)
supplementary_appendix.pdf (1.94 MB)
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2020-05-01
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Elsevier
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Abstract
It is now widely recognized in the literature that individuals have limited attention and that salient informationplays a key role in individuals choices. We analyze the salience of two sources of information for investors:firm-specific and market. Salient information on firm and market levels is captured by 52-week highs and lowindicators while investor attention is filtered by Google web searches. Results show that web searches is a predic-tor of volume, volatility and returns, and the effects are stronger when using market information. Our findingshelp to better understand the sources of information that lead individuals in making investment decisions
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Keywords
52-week high prices, Behavioral finance, Google search volume index, Investor attention, predictability, Salience
Bibliographic citation
Ramos, S. B., Latoeiro, P., & Veiga, H. (2020). Limited attention, salience of information and stock market activity. Economic Modelling, 87, pp. 92-108.
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