Yatırımcı ilgisinin, anormal getiriler, likidite ve volatilite üzerindeki etkilerine ilişkin uluslararası kanıtlar

In efficient markets, asset prices reflect all available information. For prices to reflect all information, investors should be able to pay attention to all information and process them immediately. However, there exists evidence suggesting that people do not have infinite attention. Limited attention may have important implications in financial markets and may directly affect market efficiency. This study examines the effects of limited investor attention on abnormal stock returns, stock liquidity and stock return volatility in twenty-seven countries. By using Google search volumes to measure investor attention, this study finds that investor attention has significantly positive effects on stock liquidity and stock return volatility. Investor attention's impact on stock liquidity and stock return volatility is more pronounced in individualist countries and countries that have high uncertainty avoidance scores. Furthermore, this study finds that investor attention's impact on abnormal stock returns is only valid for a few countries. This study provides international evidence about the effects of investor attention on stock markets. Additionally, this study contributes to the literature by investigating whether the effects of investor attention differ from culture to culture.