Pacific-Basin Finance Journal, Volume 46, December 2017

谷歌搜索强度及其与日本初创公司股票收益和流动性的关系

作者：Yuta Adachi (University of Tokyo, Japan)

Motoki Masuda (University of Tokyo, Japan)

FumikoTakeda (University of Tokyo, Japan)

摘要

本文研究了投资者关注度与日本创业板股票交易所——Mothers和JASDAQ的股价变动之间的关系。我们发现搜索强度与股票收益之间、搜索强度与流动性之间存在正相关关系。搜索强度与股票收益/流动性之间的正相关关系在个人投资者持股比例较高的初创公司中往往更显著。之前研究发现的股价上涨后会出现反转相反的是，我们的研究结果显示，初创企业的股票回报立即增长的可能性在长期来看不会被立即抵消。

Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks

Yuta Adachi (University of Tokyo, Japan), Motoki Masuda (University of Tokyo, Japan), FumikoTakeda (University of Tokyo, Japan)

ABSTRACT

This study investigates the relationship between investor attention and stock price movements in Japan's startup stock exchanges, Mothers and JASDAQ. We find a positive relationship between search intensity and stock returns and between search intensity and liquidity. The positive correlation between search intensity and stock returns/liquidity tends to be larger for startup firms with a high proportion of individual shareholders. Contrary to prior studies that have reported a reversal after an immediate stock price increase, our results show the possibility that an immediate increase in stock returns of startup firms may not be neutralized in the long run.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17302263

翻译：阙江静