Pacific-Basin Finance Journal, Volume 46, December2017

谷歌搜索强度及其与日本创业企业股票收益率和流动性的关系

作者：Yuta Adachi (Department of Technology Management for Innovation, University of Tokyo),

Motoki Masuda (Department of Technology Management for Innovation, University of Tokyo),

Fumiko Takeda (Department of Technology Management for Innovation, University of Tokyo)

摘要：本研究旨在探讨日本创业企业公司股票交易所，Mothers市场及JASDAQ市场中的投资者关注度与股价变动的关系。我们发现搜索强度和股票收益之间、搜索强度和流动性之间存在正相关关系。对于个人持股比例较高的创业公司，搜索强度与股票收益/流动性之间的正相关性更强。以往的研究表明股票价格立即上涨后会反转，而我们的结果则创业公司股票回报率的立即增加在长期内可能无法抵消。

关键词：关注度，股票价格，交易量，行为金融，投资者情绪

Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks

Yuta Adachi (Department of Technology Management for Innovation, University of Tokyo), Motoki Masuda (Department of Technology Management for Innovation, University of Tokyo), Fumiko Takeda (Department of Technology Management for Innovation, University of Tokyo)

ABSTRACT

This study investigates the relationship between investor attention and stock price movements in Japan's startup stock exchanges, Mothers and JASDAQ. We find a positive relationship between search intensity and stock returns and between search intensity and liquidity. The positive correlation between search intensity and stock returns/liquidity tends to be larger for startup firms with a high proportion of individual shareholders. Contrary to prior studies that have reported a reversal after an immediate stock price increase, our results show the possibility that an immediate increase in stock returns of startup firms may not be neutralized in the long run.

Keywords: Attention; Stock price; Trading volume; Behavioral finance; Investor sentiment

原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X17302263#!

翻译：施懿