Abstract
Researchers often refer to investment habitats/categories to explain the patterns of comovement in asset returns that cannot be fully clarified by fundamentals. Many factors determine these habitats including investor preferences to size, industry, price-levels and risk-levels. This paper investigates a unique method to explore investment habitat based on the search behavior of investors on the Internet without actually using proprietary trading data. Using Yahoo! Finance data on investors' frequently coviewing stocks of Russell 3000 stocks between September 15, 2011 and February 24, 2012, we evaluate the return co-movement within investment search habitats/clusters. We find that stocks within a search cluster show strong co-movement with other stocks in the same cluster that is not fully explained by other traditional habitat characteristics. The behavior persists even when a stock moves from one cluster to another. The study provides direct empirical evidence that investors prefer to search among stocks that have similar co-movement.
| Original language | English (US) |
|---|---|
| Title of host publication | International Conference on Information Systems, ICIS 2012 |
| Pages | 965-980 |
| Number of pages | 16 |
| Volume | 2 |
| State | Published - 2012 |
| Event | International Conference on Information Systems, ICIS 2012 - Orlando, FL, United States Duration: Dec 16 2012 → Dec 19 2012 |
Other
| Other | International Conference on Information Systems, ICIS 2012 |
|---|---|
| Country | United States |
| City | Orlando, FL |
| Period | 12/16/12 → 12/19/12 |
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Keywords
- Comovement
- Graph theory
- Investment habitat
- Market
- Search behaviors
- Value
ASJC Scopus subject areas
- Computer Science Applications
- Statistics, Probability and Uncertainty
- Applied Mathematics
- Library and Information Sciences
Cite this
Online search : Identifying new investment habitats. / Leung, Alvin; Agarwal, Ashish; Konana, Prabhudev; Kumar, Alok.
International Conference on Information Systems, ICIS 2012. Vol. 2 2012. p. 965-980.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Online search
T2 - Identifying new investment habitats
AU - Leung, Alvin
AU - Agarwal, Ashish
AU - Konana, Prabhudev
AU - Kumar, Alok
PY - 2012
Y1 - 2012
N2 - Researchers often refer to investment habitats/categories to explain the patterns of comovement in asset returns that cannot be fully clarified by fundamentals. Many factors determine these habitats including investor preferences to size, industry, price-levels and risk-levels. This paper investigates a unique method to explore investment habitat based on the search behavior of investors on the Internet without actually using proprietary trading data. Using Yahoo! Finance data on investors' frequently coviewing stocks of Russell 3000 stocks between September 15, 2011 and February 24, 2012, we evaluate the return co-movement within investment search habitats/clusters. We find that stocks within a search cluster show strong co-movement with other stocks in the same cluster that is not fully explained by other traditional habitat characteristics. The behavior persists even when a stock moves from one cluster to another. The study provides direct empirical evidence that investors prefer to search among stocks that have similar co-movement.
AB - Researchers often refer to investment habitats/categories to explain the patterns of comovement in asset returns that cannot be fully clarified by fundamentals. Many factors determine these habitats including investor preferences to size, industry, price-levels and risk-levels. This paper investigates a unique method to explore investment habitat based on the search behavior of investors on the Internet without actually using proprietary trading data. Using Yahoo! Finance data on investors' frequently coviewing stocks of Russell 3000 stocks between September 15, 2011 and February 24, 2012, we evaluate the return co-movement within investment search habitats/clusters. We find that stocks within a search cluster show strong co-movement with other stocks in the same cluster that is not fully explained by other traditional habitat characteristics. The behavior persists even when a stock moves from one cluster to another. The study provides direct empirical evidence that investors prefer to search among stocks that have similar co-movement.
KW - Comovement
KW - Graph theory
KW - Investment habitat
KW - Market
KW - Search behaviors
KW - Value
UR - http://www.scopus.com/inward/record.url?scp=84886513246&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84886513246&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:84886513246
SN - 9781627486040
VL - 2
SP - 965
EP - 980
BT - International Conference on Information Systems, ICIS 2012
ER -