Social media effect, investor recognition and the cross-section of stock returns

Volume: 67, Pages: 101432 - 101432
Published: Jan 1, 2020
Abstract
Investor recognition affects cross-sectional stock returns. In informationally incomplete markets, investors have limited recognition of all securities, and their holding of stocks with low recognition requires compensation for being imperfectly diversified. Using the number of posts on the Chinese social media platform Guba to measure investor recognition of stocks, this paper provides a direct test of Merton's investor recognition hypothesis....
Paper Details
Title
Social media effect, investor recognition and the cross-section of stock returns
Published Date
Jan 1, 2020
Volume
67
Pages
101432 - 101432
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