Online search: Identifying new investment habitats

Alvin Leung, Ashish Agarwal, Prabhudev Konana, Alok Kumar

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish (US)
Title of host publicationInternational Conference on Information Systems, ICIS 2012
Pages965-980
Number of pages16
StatePublished - Dec 1 2012
EventInternational Conference on Information Systems, ICIS 2012 - Orlando, FL, United States
Duration: Dec 16 2012Dec 19 2012

Publication series

NameInternational Conference on Information Systems, ICIS 2012
Volume2

Other

OtherInternational Conference on Information Systems, ICIS 2012
CountryUnited States
CityOrlando, FL
Period12/16/1212/19/12

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

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  • Cite this

    Leung, A., Agarwal, A., Konana, P., & Kumar, A. (2012). Online search: Identifying new investment habitats. In International Conference on Information Systems, ICIS 2012 (pp. 965-980). (International Conference on Information Systems, ICIS 2012; Vol. 2).