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Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea

Author

Listed:
  • Joon Chae

    (Business School, Seoul National University, Seoul 08826, Korea)

  • Ryumi Kim

    (School of Business, Chungbuk National University, Cheongju 28644, Korea)

  • Jaehee Han

    (David Eccles School of Business, University of Utah, Salt Lake City, UT 84112, USA)

Abstract
Recent studies have used internet search volume as a measure of investor attention. In addition, literature argues that limited investor attention contributes to market underreaction to public information such as earnings announcements. We show that firms with more investor attention captured by abnormal internet search frequency have stronger announcement-day reactions and weaker post-earnings-announcement drift. The effect of abnormal search frequency is stronger for medium and small-sized firms, which usually receive insufficient attention. Our evidence indicates that firms with higher search intensity are traded more, especially by individual investors. Moreover, we imply that it is a sustainable development for investors to be able to use public information through the internet for investment in stock markets.

Suggested Citation

  • Joon Chae & Ryumi Kim & Jaehee Han, 2020. "Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea," Sustainability, MDPI, vol. 12(22), pages 1-29, November.
    • Handle: RePEc:gam:jsusta:v:12:y:2020:i:22:p:9358-:d:443168
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    References listed on IDEAS

    as
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    Cited by:

    1. Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.

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