Research on the Investor Sentiment Moderating Effect of the Impact of Investor Attention on Stock Returns

Yuyuan Wang

《Frontiers in Economics and Management》 3卷11期 (2022/11) Pp. 109-122

https://doi.org/10.6981/FEM.202211_3(11).0014

摘要

The purpose of this paper is to discuss the impact of investor attention on stock returns, and to further explore the moderating effect of investor sentiment. We choose the weekly data of 463 US-listed firms that are part of the S&P 500 from January 4, 2021, to May 2, 2022, as a sample. This study runs fixed effect regression using the Google Search Index (GSVI) and the Popularity Index (AR) as proxies for investor attention and investor sentiment respectively. According to the regression results, investor attention has a positive impact on stock returns in general, indirectly proving that the positive impact of the ＂attention-driven trade hypothesis＂ is stronger than the negative one of the ＂risk compensation hypothesis＂. We build interaction terms to further investigate the moderating impact of investor sentiment, we build interaction terms. The results of the regression demonstrate that investor sentiment has a positive moderating effect, i.e., an improvement in investor sentiment will increase the positive effect of investor attention on stock returns.

關鍵字

Investor Sentiment ； Investor Attention ； Moderating Effect

參考文獻

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