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1、EconomicModelling33(2013)613–619ContentslistsavailableatSciVerseScienceDirectEconomicModellingjournalhomepage:www.elsevier.com/locate/ecmodOpensourceinformation,investorattention,andassetpricingWeiZhang,DehuaShen,YongjieZhang⁎,XiongXiongCollegeofManag
2、ementandEconomics,TianjinUniversity,Tianjin300072,PRChinaarticleinfoabstractArticlehistory:Inthispaper,weadvocatethesearchfrequencyofstocknameinBaiduIndexasanovelanddirectproxyforAccepted22March2013investorattention.Firstly,empiricalresultsshowthatthe
3、quantifiedinvestorattentionisadesiredexplana-Availableonlinexxxxtoryvariableforabnormalreturneventradingvolumeisconsidered.Secondly,theMainBoardismoreeffi-cientthantheChiNextandtheSMEBoardintheviewofinformationalefficiency.Thirdly,investorattentionJELcla
4、ssification:exhibitsstrongcontemporaryrelationshipwithabnormalreturn.Fourthly,opensourceinformationcanen-C51hancethespeedofinformationdisseminationandmakethemarketefficient.C58G12CrownCopyright©2013PublishedbyElsevierB.V.Allrightsreserved.G14Keywords:Ba
5、iduIndexInvestorattentionMarketefficiencyGrangercausalityPsychologicalbiases1.Introduction2.LiteraturereviewOverthepastdecadeandahalf,theemergencyoftheinternethasTherearemanyempiricalstudieswhichcontributetotherelation-becomeamainstreamplatformforinfor
6、mationgathering,processingshipbetweenopensourceinformationandassetpricing.Someoftheandinteraction.Instockmarket,theinternethasnotonlyenhancedstudiessupportthattheopensourceinformationisnotjustnoise,buttheexistingprocesses(e.g.,theelectronicsystemfacil
7、itatesthebro-alsoassociatedwiththearrivalofinformation.Forexample,Wysockikerinsendingorders),butalsocreatednewprocessesandinterac-(1999)firstlyfindsthatovernightmessagepostingsareindicativeoftions(e.g.,stockmessageboard,blogandemail).Theefficiencyofthetr
8、adingvolumeandthestockreturnonthenextday.ThisresultisstockmarketisinlargeattributabletotheefficientdisseminationofalsofurtherconfirmedbyAntweilerandFrank(2004),Bollenetal.information.Therefore,theinternetisundoubtedlyplayinganin-(2011),andLoughr
