Investor Attention on the Social Web

We study investor attention through practitioners' tweeting behaviors. We develop formalisms of "cognitive niches," heuristics from adaptive cognitive control, to account for the selectivity of investor attention. Using asset-specific tweets as direct measures of investor attention, w...

Full description

Saved in:
Bibliographic Details
Published inThe journal of behavioral finance Vol. 17; no. 1; pp. 45 - 59
Main Authors Li, Xian, Hendler, James A., Teall, John L.
Format Journal Article
LanguageEnglish
Published Philadelphia Routledge 02.01.2016
Taylor & Francis Ltd
Subjects
Bounded rationality
Cognitive psychology
Heuristic
Investment policy
Investor attention
Rates of return
Social contagion
Social networks
Social web
Studies
Text messaging
Time perception
Volatility
Online AccessGet full text

Cover

More Information
Summary:We study investor attention through practitioners' tweeting behaviors. We develop formalisms of "cognitive niches," heuristics from adaptive cognitive control, to account for the selectivity of investor attention. Using asset-specific tweets as direct measures of investor attention, we find evidence supporting contextual cognitive control, depending on asset types, investors' experience and investing approaches. We quantify attention contagion arising from the "social proof" heuristic, whereby the drawing power of the crowd in directing investor attention exceeds that of firm fundamentals. Finally, we demonstrate that different natures of investor attention (active or passive) reveals distinct patterns of trading volume, returns and volatility.
ISSN:1542-7560
1542-7579
DOI:10.1080/15427560.2015.1095752