RENDIMIENTOS Y COSTOS

5.1. Alternativebid-askspreadmeasures

Toconfirmthatourfindingisrobusttootherliquiditymeasures,wereplicatetheregressionsbyreplacingtherelative bid-askspreadwiththeeffectivespreadandtherelativeeffectivespreadasthedependentvariables.FollowingGrullonetal. (2004),theeffectivespreadisdefinedastwicethedifferencebetweenthetransactionpriceandthespreadmidpoint,andthe relativeeffectivespreadisdefinedastheeffectivespreaddividedbythemidpointofthespread.Table5providestheresults oftheanalysis.ThechangeintheSVIissignificantlynegativeinbothmodelsIandIIofPanelA.Thisisconsistentwithour mainfindingthatactiveattentionhelpstoimprovestockliquidity.Bothonlinenewscoverageandadvertisingexpenditure arefoundtoreducethebid-askspreadaswell.Next,weusetheturnoverrateasanalternativeliquiditymeasureandrepeat theanalysis(seeDataretal.,1998)15_{.InPanelB,weshowthatboththeactiveandpassiveattentionmeasuresarepositively}

associatedwiththeshareturnover.Thisconfirmsthatourresultsarerobusttovariousspecificationsofliquidity.

5.2. Propensityscorematching

Ourresearchdesignmaybesubjecttoendogeneityconcern.Theconcernstemsfrompossiblereversescausalityor selectioneffectsinthatretailinvestorattentionisnotrandomlyassignedtofirms.Forexample,liquidityshocksmayaffect retailinvestorattention.Inaddition,corporateannouncements,eventsorfirmcharacteristicsmayaffectbothliquiditylevel andretailinvestorattention.Tocontrolfortheendogeneityissueandtodrawcausalinferences,andtoexploreattributors ofsubstantialincreaseinretailinvestorattention,weapplypropensityscorematching(PSM)(RosenbaumandRubin,1983) toreplicateourmaintests.Toimplementtheapproach,wefirstdefinesubstantialincreaseinSVI(SInSVI)isequalto1 ifthechangeinSVIisabovethe10%percentileand0otherwise.Wethenestimatealogitregressiontotheincidenceof substantialincreaseinSVI(SInSVI)basedontraditionalattentionmeasuresandfirmcharacteristicsasshowninTable5D. Then,weconstructaone-to-onenearest-neighbormatchedsamplebasedontheclosestpredictedvalue(propensityscores) fromthelogitregression.Inthisway,eachfirmwithsubstantialincreaseinattention(SInSVI=1)ismatchedwithanother counterpartfirmwithsimilarcharacteristics,butwithoutsubstantialincreaseinattention(SInSVI=0).Itisworthtonote thattheresultsofmodelIthatfirmswithmoreadvertisingcosts,largersize,higheroperatingperformance,higherturnover, andhighervolatility,andfirmslistedinNASDAQaremorelikelytoexperiencesubstantialincreaseinSVI,whereasfirms whichalsoattracthighmediacoveragearelesslikelytoexperiencesuchchange.Suchrandomizedexperimentsamplewith 3002observationsislesssubjecttotheendogeneityissue.AsshowninTable5C,wereplicatethemaintestsbyusingthe matchingsampletogetthemorereliableandrigorousresults.Theresultsremainconsistentinthatsubstantialincreasein SVIimprovesbreadthofownershipandstockliquidity.

Tocontrolforpossibleconfoundingeffectsofcorporateevents,wereplicatethePSMtestbyincorporatingdummy variablescapturingindexinclusion,corporatesplitsordividendpayments.Itisalsoworthtonotethatthesecorporate eventsdonotsignificantlyaffectthechangeinattentionasdocumentedinthefirststepofthePSMapproach.Theresults fromthesecondstepremainconsistent.

5.3. Testforcausality

Tofurtherstrengthenthecausalinferencesoftheresults,wealsoemploytheGrangertestasadditionalrobustness checksbyfollowingthestudiesofthedeterminantsofstockliquidity(e.g.,Roulstone,2003;Chordiaetal.,2005;Goyenko andUkhov,2009)16_{.TheGrangercausalitytestisusedtodeterminewhetheronetimeseriesisusefulinforecastinganother.}

Thelogicisasfollows:supposethatwehavethreetimeseries:thechangeininvestorattention(SVI),theliquidity(RBAS)

15_{Tradingactivityreflectedbyturnoverrateisaweakmeasureofliquiditybecausetradingvolumecouldbehighwhenliquidityislow(Pastorand} Stambaugh,2003).Grullonetal.(2004)findtheturnoverratetobeweaklycorrelatedwithadvertisingexpenditure.

16_{Forexample,Roulstone(2003)usesGrangercausalitytesttoidentifythecausalrelationshipbetweenanalystfollowingandmarketliquidity.Hisresults}

22 R.Ding,W.Hou/Int.Fin.Markets,Inst.andMoney37(2015)12–26

Table5

Robustnesschecks.

PanelA.SVIchangeandrelativespread

Dependentvariables

Effectivespread Relativeeffectivespread

ModelI ModelII ChangeinSVI −0.11**_{(−2.02) −0.01}***_(−2.47) Ln(numberofNews) −0.01***_{(−3.07) −0.001}***_(−3.87) Ln(advertising) −0.02***_{(−4.97) −0.001}***_(−5.46) Ln(firmage) 0.05***_{(3.87) 0.001}***_(4.74) ROA 0.11***_{(4.75) 0.01}***_(5.22) Ln(firmsize) 0.13***_{(5.28) 0.01}***_(5.67) 1/shareprice 0.62***_{(3.19) 0.03}***_(3.91) Ln(turnover) 1.00***_{(5.32) 0.05}***_(5.8) Ln(returnvolatility) −0.68***_{(−5.39) −0.03}***_(−5.79) NASDAQ −0.25***_{(−5.21) −0.01}***_(−5.66) Year Y Y Industry Y Y Observation 14,690 14,690 Adj.R2 _{0.79 0.79}

PanelB.SVIchangeandturnover

[1,0] Dependentvariable:turnover

ModelI ModelII ModelIII

ChangeinSVI 0.12***_{(3.8) 0.12}***_{(3.8) 0.12}***_(3.8) Ln(numberofnews) 0.01*** _0.01***_{(3.59) (2.99)} Ln(advertising) 0.01*** _(10.44) Ln(firmage) −0.06***_{(−9.47) −0.05}***_{(−9.41) −0.05}***_(−9.37) ROA −0.06***_{(−6.71) −0.06}***_{(−6.60) −0.06}***_(−6.31) Ln(firmsize) −0.08***_{(−16.87) −0.08}***_{(−15.79) −0.09}***_(−17.37) 1/shareprice −0.65***_{(−5.87) −0.68}***_{(−6.00) −0.71}***_(−6.21) Ln(returnvolatility) 0.65***_{(62.04) 0.65}***_{(62.01) 0.65}***_(62.25) NASDAQ 0.27***_{(20.62) 0.28}***_{(21.13) 0.27}***_(21.03) Year Y Y Y Industry Y Y Y Observation 14,690 14,690 14,690 Adj.R2 _{0.483 0.484 0.487}

PanelC.SubstantialincreaseinSVIandpropensityscorematching Dependentvariable

SubstantialincreaseinSVI Ln(numberofshareholdersinthousand) Relativespreadin%

ModelI ModelII ModelIII

SInSVI 0.14***_{(2.59) −0.08}**_(−2.52) Ln(numberofnews) −0.02***_{(−2.79) 0.04}***_{(2.64) 0(−0.25)} Ln(advertising) 0.01*_{(1.87) 0.02}***_{(2.76) −0.01}*_(−1.92) Ln(firmage) 0.03*_{(1.7) 0.36}***_{(7.51) −0.03}*_(−1.66) ROA 0.06**_{(2.06) 0.60}***_{(9.71) −0.01(−0.16)} Ln(Firmsize) 0.11***_{(7.13) 0.92}***_{(31.16) −0.03(−1.54)} 1/shareprice −0.87**_{(−2.01) 15.30}***_{(10.70) 5.09}***_(5.96) Ln(turnover) 0.06**_{(2.05) −0.12(−1.56) 0.08}**_(2.2) Ln(returnvolatility) 0.15***_{(4.21) −0.36}***_{(−4.53) 2.47}***_(38.33) NASDAQ 0.30***_{(7.63) −0.71}***_{(−7.96) −0.13}***_(−2.65) Year Y Y Y Industry Y Y Y Observation 14690 3002 3002 AdjR2 _{0.0214 0.4739 0.7873}

R.Ding,W.Hou/Int.Fin.Markets,Inst.andMoney37(2015)12–26 23 Table5(Continued)

PanelD.Corporateeventsandtransparency Dependentvariable

Ln(numberofshareholdersinthousand) Relativespreadin%

ModelI ModelII ModelIII ModelIV ModelV

ChangeinSVI 0.21*_{(1.7) 0.27}**_{(2.07) −0.24}***_{(−3.43) −0.23}***_{(−3.01) −0.23}***_(−3.28) Ln(numberofnews) 0.04(0.88) 0.03(0.78) 0.01(1.02) 0.01(1.02) 0(0.27) Ln(advertising) 0.01(0.24) 0(0.04) 0(−0.74) 0(−0.94) 0(−0.65) Ln(firmage) 0.27**_{(2.01) 0.25}*_{(1.96) −0.01(−0.44) 0(−0.21) 0(−0.04)} Return −0.20*_{(−1.75) −0.27}**_(−2.31) ROA 0.31(1.52) 0.35*_{(1.75) −0.01(−0.21) 0(−0.12) 0(0.01)} Ln(firmsize) 0.87***_{(10.4) 0.88}***_{(10.28) 0(0.04) 0(−0.04) 0.01(0.45)} 1/shareprice 8.13***_{(3.35) 8.28}***_{(3.42) 2.97}***_{(4.76) 2.87}***_{(4.62) 2.92}***_(4.6) Ln(turnover) −0.08(−0.47) −0.11(−0.64) 0.12***_{(2.78) 0.13}***_{(2.77) 0.14}***_(3.2) Ln(returnvolatility) −0.13(−1.09) −0.15(−1.11) 2.48***_{(36.71) 2.50}***_{(35.36) 2.44}***_(34.07) NASDAQ −0.64**_{(−2.11) −0.64}**_{(−2.05) −0.02(−0.55) −0.02(−0.54) −0.02(−0.4)} Event dividend 0.08(0.77) 0.04*_(1.89) Eventsplit −0.17(−0.59) −0.14(−1.4) Big4 −0.24(−1.3) Year Y Y Y Y Y Industry Y Y Y Y Y

Adjustclustererrors Y Y Y Y Y

Excludeeventmonths N Y N Y N

Obs 14690 12591 14690 12591 14690

Adj.R2 _{0.3981 0.3906 0.7937 0.7918 0.7923}

PanelAandBofthistablereporttheestimatesfrompanelregressionsrelatingthealternativeliquiditymeasurestoactiveinvestorattention(SVI).The sampleincludestheconstituentsoftheS&P500overaperiodofsixyearsfromJanuary2004toDecember2009.Theeffectivespreadisdefinedastwicethe differencebetweenthetransactionpriceandthespreadmidpoint.Therelativeeffectivespreadisdefinedastheeffectivespreaddividedbythemidpoint ofthespread.ShareturnoverisconstructedfromCRSPasthemonthlyaverageofthesharevolumedividedbythesharesoutstanding.TheSVIisthesearch frequencyofastockticker,obtainedfromGoogleTrends.ThechangeinSVIisthedifferencebetweentheSVIinweektandthemedianvalueoftheSVIduring thepreviouseightweeks.The“numberofnews”istheonlinemediacoveragefromGoogleNews.AdvertisingexpenditureisobtainedfromCompustat.The relativebid-askspreadisthemonthlyaverageoftheratioofthedailyinsidespreadtothemidpointofthedailyinsidespread,obtainedfromCRSP.Firm ageisthenumberofyearsforwhichthefirmhasbeenincludedinCRSP.ReturnonassetsisconstructedfromCompustatastheannualoperatingincome beforedepreciation,scaledbytotalassets.Firmsizeisthemarketcapitalization,calculatedastheproductofthetotalnumberofoutstandingsharesand theannualclosingprice.Returnvolatilityisthemonthlyaverageofthestandarddeviationofdailyreturns,obtainedfromCRSP.NASDAQequals1forfirms listedontheNASDAQ,and0otherwise.

PanelBpresentstheresultsbasedonthepropensityscorematching.SubstantialincreaseinSVI(SInSVI)issetto1ifthechangeinSVIisabovethetop 10percentileand0otherwise.Matchingsampleof3002observationisconstructedbyModel1,with1501firmsastreatmentgroup(SInSVI=1)and1501 firmsascontrolgroup(SInSVI=0).

PanelCpresentstheresultsaftercontrollingforcorporateeventsorfinancialreportingtransparency.Eventsplitthatequals1ifsharesplitshappenedin themonthand0otherwise;similarly,Eventdividendequals1ifthedividenddistributionwasannouncedinthemonthand0otherwise.

*_,**_and***_{representsignificanceatthe10%,5%and1%levels.Standarderrorsareadjustedforheteroscedasticity.}

andavectorofcontrolvariablesthathavepredictivepowerforliquidity(Control).WefirstusepastvaluesofRBAS(upto previous10weeks),SVIandControltoforecastRBAS(Eq.(4)).Then,weusepastvaluesofSVI,RBASandControlto predictSVI.IftheresultsrejectthehypothesisthatpastvaluesofRBAScanpredictSVI(Eq.(5))butfailtorejectthe hypothesisthatpastvaluesofSVIcanpredictRBAS(Eq.(4)),thisindicatesthatthepastvaluesofSVIprovidestatistically significantinformationaboutRBAS.Thatis,SVIisabletoGranger-causeRBAS.

First,inordertocheckwhetherchangesintheSVIleadtochangesinliquidity,weuseastandardFtesttotestthejoint hypothesisthatı1=ı2=...ı10=0forthefollowingregression:

RBASi,t=˛+ 10 j=1 ˇjRBASi,t−j+ 10 k=1 ıkSVIi,t−k+ Control (4)

Then,wetestthejointhypothesisthat1=2=...10=0forthefollowingregression:

SVIi,t=+ 10 j=1 jRBASi,t−j+ 10 k=1 kSVIi,t−k+ Control (5)

TheuntabulatedresultsshowthehypothesisthatachangeintheSVIdoesnotcauseachangeinliquidityisrejectedat the10%confidencelevel.However,wefailtorejectthehypothesisthatliquiditydoesnotcauseachangeintheSVIata conventionallevel.Thefindingsstayrobusttotheinclusionofhigher-orderlagsofliquidity.Therefore,ourinferenceisthat anincreaseininvestors’attentionpaidtoastock(reflectedbyachangeintheSVI)causesliquiditytoimprove.

24 R.Ding,W.Hou/Int.Fin.Markets,Inst.andMoney37(2015)12–26

5.4. Otherconfoundingfactors

Toshowthatourresultsarenotdrivenbyconfoundingcorporateeventssuchasstocksplitanddividends,weincorporate themasadditionalcontrolvariablesinourtests.ThefirstdummyvariableisEventsplitthatequals1ifsharesplitshappened inthemonthand0otherwise;similarly,Eventdividendequals1ifthedividenddistributionwasannouncedinthemonth and0otherwise.Alternatively,wealsoreplicatethetestsbyexcludingthefirm-monthobservationswiththesecorporate events,andtheresultsarerobust.TheresultsreportedinthecolumnsItoIVinPanelDofTable5remainconsistentinthat investorattentionmeasuredbyChangeinSVIincreasesshareholderbaseandimprovestockliquidity.Theresultsalsohold whenweincorporateothereventssuchasIndex,whichequals1ifthefirmisnewlyincludedinS&P500indexinthemonth and0otherwise.

Aspreviousliteratureshowsthatfinancialreportingtransparencyisassociatedwithstockliquidity(i.e.,LangandMaffett, 2011),wecreateadummyvariabletoproxyforfinancialreportingtransparency.Specifically,Big4issetto1forfirmsaudited byBigfourauditingfirms(namelyKPMG,Ernst&Young,DeloitteToucheTohmatsu,andPricewaterhouseCoopers),and0 otherwise.WeaddthemasadditionalcontrolvariablesintheanalysisasreportedincolumnVofPanelD,andfindthat theresultsremainconsistent.Wealsoconsideralternativemeasuresforfinancialreportingtransparencysuchasgoingon concernauditopinionsfromauditingfirmbutfindthatS&P500firmsinoursampledonotreceivegoingonconcernaudit opinions.

6. Conclusion

The“homebias”literaturesuggeststhatinvestorsareinclinedtoinvestinfirmsthattheyarefamiliarwith.Inorder togetfamiliarwithafirm,investorsneedtoacquirerelevantinformation.Individualinvestors,whoaregenerallyunable toaccessprofessionalinformationvendorssuchasReutersorBloomberg,mayincreasinglyrelyonGoogle,thedominant Internetsearchengine,tosearchforrelevantinformationbeforemakinginvestmentdecisions.Inthispaper,weusesearch frequencydataonS&P500stocksbetweenJanuary2004andDecember2009,providedbyGoogleTrends,asadirectmeasure ofactiveinvestorattention,andexaminetheimpactofthisactiveattentionfromretailinvestorsontheshareholderbaseand stockliquidity.Wefindthisactiveattentionmeasuretobedistinctfrompassivemeasuressuchasthenumberofnewsitems availableontheInternet(basedonGoogleNews;news.google.com)17_{andadvertisingexpenditure.Despitethepositive}

correlationbetweentheactiveandpassiveattentionmeasures,almost95%ofthecross-sectionalvariationintheformer cannotbeexplainedbythelatter.Wefurthershowthattheincreasedinvestorattentionindicatedbythesearchvolume index(SVI)andGoogleNewscontributestoabroadershareholderbase.Furthermore,increasedinvestorattentionleadsto areducedrelativebid-askspreadandahigherturnoverrate.Ourfindingsarerobusttothecontroloffirmcharacteristics suggestedinGrullonetal.(2004),andtoalternativemeasuresofstockliquidity.

Ourstudycontributestotheburgeoningliteratureontheroleofinvestorattentioninthedynamicsofassetpricing. StudiesinthisstreamofliteratureincludeBarberandOdean(2008)oninvestorattentionandindividualinvestors’trading behavior,Yuan(2009)onrecording-breakingeventsrelatedtotheDowindexandfront-pagecoverageinnewspapersas proxiesforinvestorattention,and itsimpactontradingbehaviorandmarketreturns,and Daetal.(2011)oninvestor attentionmeasuredbyGooglesearchfrequency,anditseffectonIPOreturnsandthepricepressurehypothesisproposed byBarberandOdean(2008).Thisstudyalsoextendstheliteratureonthe“investorrecognitionhypothesis”(e.g.,Grullon etal.,2004;FangandPeress,2009).Inmarketswithinformationasymmetry,investorsarelesslikelytopossesstherequired information.Consequently,securitieswithlowerinvestorrecognitionbecomelessliquidandhavetoofferahigherreturn tocompensatefortheir“illiquidity”.Thefactthatasecurityisattractingmoreattentionfrominvestorscanenableittobe “betterrecognized”.Asaresult,stockswithincreasedinvestorattentionbecomemoreliquid.Ourresultsgenerallylend credencetothe“investorrecognition”hypothesis.

Thefindingsofourstudyhaveimplicationsforcompaniesthatwishtopromoteinvestorrecognition.Companiesmay intentionallymakethemselvesmorevisibleontheInternetandespeciallyintheGooglesearchengineinordertoattract theattentionofpotentialinvestors.Ourresultsmightbeofinteresttoparticipantsinthefinancialmarkets(e.g.,liquidity traders),inthattheymaybenefitfromsophisticatedmodelsthatincorporateindividuals’informationacquisitionbehavior intopredictionsofstockliquidity.Finally,ourfindingsmayincentivizeGoogleandothersearchenginecompaniestofurther improvetheirserviceintermsofprovidingmoretimelyandaccuratedataonpublicsearchbehavior,andtoprofitbyselling suchservices.

Ourstudyissubjecttothefollowinglimitations.First,althoughweapplypropensityscorematchingandGrangertest toaddresstheconcernofendogeneityproblem,futureresearchmayattempttoidentitysomeexogenousshiftininvestor’s attentionandfurtherexplorethecasualrelationbetweeninvestors’attentionandstockliquidity.Wenoticethatcorporate eventscouldnottriggersubstantialchangeinretailinvestors’attentioninthatnon-professionalinvestorsdonottendto

17 _{Yuan(2009),Tetlock(2010)andFangandPeress(2009)useeithertheLexisNexisdatabaseortheDowJonesnewsarchivetodeterminethenumber}

ofnewspaperarticlesrelatedtoastock.TheGooglenewschannelincludesnewsfromthemostpopularEnglish-languagenewssites,suchTheNewYork Times,Bloomberg,Reuters,theGuardian,CBSNews,BBCNews,TimesOnline,andCNN,andthusoffersbroadernewscoverage.Wearguethatonlinemedia coverageismoreaccessiblethannewspapercoverageforretailinvestors,whoaremorelikelytosearchforinformationontheInternet.

R.Ding,W.Hou/Int.Fin.Markets,Inst.andMoney37(2015)12–26 25

closelyfollowcorporateannouncements.Weconjecturethatretailinvestorattentioncouldbeaffectedbyproxiesrelated tocoverageonsocialmedia.Second,ouranalysisisexclusivelybuiltonthesampleofS&P500stocks,whicharelargeand well-establishedfirmswithhighvisibility.Itisexpectedthatsmallerandlessrecognizedfirmswouldbenefitmorefrom increasedinvestorattention,thereforeaddingsmallfirmstofuturestudiesmightstrengthentheanalysis.Notethatifthe tickersofsomesmallfirmsarerarelysearchedfor,Googlewillreturnavalueofzero.Third,assuggestedbyDaetal.(2011), SVIlargelyreflectstheattentionofretailinvestorsbecauseinstitutionalinvestorshaveaccesstoprofessionalinformation vendorssuchastheBloombergorReuters.Ingeneralthetradingbehaviorofanaverageretailinvestorislesslikelytohave aremarkableeffectonthestockprice,whichmightplausiblyexplainwhyactiveattentionmeasureofretailinvestorsis insignificantlyrelatedtotheAmihud(2002)illiquiditymeasure.Furtherresearchmayexamineawiderangeofliquidity measures.Finally,themajorityofresearchinthisareaisbasedonUSdata18_{.AsGooglebecomesanincreasinglyimportant}

sourceofinformationforinvestorsaroundtheworld,itmightbeinterestingtoexplorethecapitalmarketconsequencesof investors’activedemandforinformationinothermarkets(e.g.,theUK,otherEuropeancountriesandAsia).Weleavethis forfutureresearch.

AppendixA.

PanelA.Activeattentionandbreadthofownership:univariateanalysis

SVI Difference t-statistics

Low High

All 46.96 94.27 47.31*** _14.38

Small 22.45 24.72 2.27** _2.06

Large 78.86 153.24 74.38*** _11.54

PanelB.Activeattentionandstockliquidity:univariateanalysis

SVI Difference t-statistics

Low high

Allstock 3.08 2.89 −0.19*** _6.38

Small 3.44 3.27 −0.17*** _3.43

Large 2.62 2.56 −0.06* _1.72

PanelC.Firmfixedeffects

Dependentvariable

Ln(numberofshareholdersinthousand) Relativespreadin%

ModelI ModelII ModelIII ModelIV

ChangeinSVI 0.01**_{(2.11) 0.02(0.64) −0.03}***_{(−3.57) −0.24}***_(−4.44) Ln(numberofNews) 0.01(0.83) 0.01(0.74) 0.04**_{(2.36) 0.04}**_(2.53) Ln(advertising) −0.06***_{(−12.28) −0.06}***_{(−12.2) −0.01(−0.96) −0.01(−1.13)} Ln(firmage) −0.01(−0.22) −0.01(−0.27) 0.27***_{(4.17) 0.27}***_(4.24) Return 0.05(1.49) 0.05(1.47) ROA 0.08***_{(4.45) 0.08}***_{(4.4) 0.03(0.74) 0.03(0.8)} Ln(Firmsize) 0.02(1.15) 0.02(1.2) −0.14***_{(−4.88) −0.14}***_(−4.89) 1/Shareprice 0.95***_{(6.57) 0.94}***_{(6.53) 2.08}***_{(7.53) 2.11}***_(7.65) Ln(turnover) 0.10***_{(7.73) 0.10}***_{(7.75) 0.14}***_{(5.74) 0.14}***_(5.87) Ln(returnvolatility) −0.04***_{(−3.91) −0.04}***_{(−3.9) 2.48}***_{(121.89) 2.48}***_(121.97)

NASDAQ Omitted Omitted Omitted Omitted

Year Y Y Y Y

Industry Y Y Y Y

Firmfixedeffects Y Y Y Y

Obs. 14690 14690 14690 14690

OverallR2 _{0.0198 0.0209 0.7674 0.7673}

PanelAreportsthenumberofshareholders(inthousand)forstockswithlowandhighattention.ThesampleincludestheconstituentsofS&P500over aperiodof6yearsfromJanuary2004toDecember2009.TheattentionismeasuredbySVI,thesearchfrequencyofstocktickerfromGoogleTrends.The firmsarefurtherclassifiedintosmallandlargeonesbasedonthemeanofmarketcapitalization.*_,**_and***_{representsignificanceatthe10%,5%and1%}

level.

PanelBreportspresetstherelativebid-askspread(in%)forstockswithlowandhighattention.ThesampleincludestheconstituentsofS&P500overa periodof6yearsfromJanuary2004toDecember2009.TheattentionismeasuredbySVI,thesearchfrequencyofstocktickerfromGoogleTrends.The firmsarefurtherclassifiedintosmallandlargeonesbasedonthemeanofmarketcapitalization.*_,**_and***_{representsignificanceatthe10%,5%and1%}

level.

PanelCreportstheestimatesfrompanelregressionswithfirmfixedeffectsapplied.

18_{OneexceptionisAouadietal.(2013),whichconstructattentionmeasurewithFrenchinvestor’sonlinesearchbehavior,providedbyGoogle,andshow}