数字技术与经济金融前沿论坛（第54期）

摘要：

Motivated by existing evidence and explanation of the salience theory (ST) effect, we examine the roles that retail investor attention and social interaction play in the negative relationship between salience theory and future returns. We find that ST effect is stronger and concentrates amongst stocks with low investor attention (proxied by low analyst coverage and salient earnings surprises) but weakens amongst stocks with higher investor attention. We also demonstrate that the salience effect is more pronounced in stocks with high retail ownership. Additionally, intense social interaction (proxied by Facebook social connectedness or population density of the county where a firms’ headquarters is located) further strengthens the salience effect. Our findings offer new insights into how retail investor attention and social interaction drives and contribute to the salience effect documented in the US stock market.

主讲人介绍：

Alexander Molchanov is the Deputy Head of School of Accountancy, Economics and Finance at Massey University. Alexander has received his PhD at the University of Miami (USA). He has joined Massey University in 2006. Alexander’s research is mostly in the area of International Finance, Politics and Finance, Econometrics. His works have been published in world-renowned journals, such as Journal of International Business Studies, Review of Financial Studies, Journal of Banking and Finance, International Review of Economics and Finance, as well as in The Handbook of Trading. Alexander’s research has been presented at top international conferences.