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In Search of Concepts: The Effects of Speculative Demand on Stock Returns

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.

15. June 2016

Authors Owain ap Gwilym Iftekhar Hasan Qingwei Wang Ru Xie

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Professor Iftekhar Hasan, PhD
Professor Iftekhar Hasan, PhD
Economist

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