Publication Date

4-13-2022

Document Type

Article

Publication Title

International Review of Financial Analysis

Volume

81

DOI

10.1016/j.irfa.2020.101627

Abstract

We are the first to examine how intraday changes in retail investor attention, measured by hourly Google searches, affect trading activity and informativeness of trades. High levels of Google search activity are followed in the next hour by more intensive trading in all stocks. The increased trading activity is initiated by retail investors as evidenced by the reduced size of new orders. After googling a company, retail investors do not become informed in the traditional sense; rather, they act as noise traders, who mistake noise for information, as their orders are picked off by truly informed traders.

Keywords

Retail, Investors, Attention, Limit order book, Trading, Internet, Searches, Google, Market microstructure

Comments

This is the Version of Record and can also be read online here.

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Department

Accounting and Finance

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