近期諸多研究發現：吸引投資人目光的股票，其股價往往會上漲。然而，這些研究忽略了市場狀態所帶來的影響。究竟市場狀態是否及如何影響投資人目光？此議題尚未有充份的實證分析。為填補此知識缺口，本研究以臺灣上市公司為樣本，探討投資人關注於多空頭市場中對股票報酬的影響。實證結果發現：投資人對股票報酬所產生的關注效應，會因市場狀況不同而改變。關注效應於多頭市場中的影響幅度會強於空頭市場。此發現顯示，相較於空頭市場，多頭市場所吸引到的投資人目光，會有較多的比例轉為對股價的正向上漲壓力。隱含著投資人受市場氛圍的影響，較願意化為實際行動進入多頭市場購買股票，而非僅是觀望。

Using various proxies for investor attention, past studies find that attention-grabbing stocks tend to experience positive price pressure. However, few studies consider the influences of market states. Whether market states affect investor attention has not been fully explored. To fill up the gap, this study explores the attention effect on stock returns across market states using a sample of firms in Taiwan. The findings show that the attention effect varies under different market conditions. Specifically, investors are relatively active when the market expresses good prospects. The attention effect of investors on stock returns is stronger in a bull market than in a bear market. This result suggests a rising stock market draws more investor attention that translates to positive price pressures than a declining stock market does. Therefore, the attention effect is found varying with market states.

The attention theory of Barber & Odean (2008) predicts that stocks with more investor attention are likely to experience positive price pressures. Using a variety of proxies for investor attention, such as advertising expenses (Lou, 2014), media coverage (Fang & Peress, 2009), abnormal trading volume (Hou et al., 2008), extreme returns, and news and headlines (Barber & Odean, 2008), previous studies have documented the existence of the attention effect. Recently, Da et al. (2011b), employing the Search Volume Index (SVI) provided by Google as a novel and direct measure of investor attention, also find a positive relationship between SVI and stock returns. In sum, past empirical studies generally support the attention theory of Barber & Odean (2008). Based on these findings, a growing number of investors take advantage of Google search engine to predict future stock performance. Some shrewd investors even utilize SVI to form various investment strategies. However, few of these studies take into account the impacts caused by market states, which might affect the trading behavior of investors and in turn moderate the attention effect on stock returns. If market states affect investor attention in that manner, the predictive power of SVI for future stock returns documented by Da et al. (2011b) is supposed to differ across market states. However, whether market states affect investor attention has not been fully explored. Therefore, this study endeavors to investigate the attention effect on stock returns across market states. Following Da et al. (2011b), this study uses SVI as a proxy of investor attention. Moreover, this study adopts the approach of Pagan & Sossounov (2003) to classifying market states. The empirical results show that the attention effect of investors on stock returns is stronger in a bull market than in a bear market. Therefore, the attention effect is found varying with market states. One reasonable explanation is investor sentiment. A bear market tends to fuel investors’ fears of losing money and drive investors to sell stocks irrationally. Consequently, there are more selling activities than buying ones in a bear market, leading to reduced net buying. Moreover, in a bear market, stocks with falling prices are not attractive so that investors tend to shift their investments to risk-free assets. As a result, positive price pressure predicted by the attention theory will abate due to the shift of investor attention. Overall, these findings support the hypothesis that market states alter the influences of investor attention on stocks returns. Ignoring this fact probably leads investors to overestimate the predictive power of SVI and thus results in investment losses. Accordingly, investors who make decisions based on SVI need to consider other factors including market states. Future researches on the attention effect also need to consider the impact of market states when assessing the attention effect.

Bank, M., Larch, M., and Peter, G., 2011, “Google Search Volume and Its Influence on
Liquidity and Returns of German Stocks,” Financial Markets and Portfolio
Management, Vol. 25, No. 3, 239-264.
Barber, B. M. and Odean, T., 2008, “All That Glitters: The Effect of Attention and News on
the Buying Behavior of Individual and Institutional Investors,” Review of
Financial Studies, Vol. 21, No. 2, 785-818.
Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2005, “Who Loses from Trade?
Evidence from Taiwan. ”, 32nd EFA Annual Meeting, Moscow, Russia.
Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” The Journal of
Finance, Vol. 52, No. 1, 57-82.
Choi, H. and Varian, H. R., 2009, “Predicting the Present with Google Trends,”
http://googleresearch.blogspot.tw/2009/04/predicting-present-with-googletrends.html, accessed on April 2, 2009.
Da, Z., Engelberg, J., and Gao, P., 2011a, “In Search of Fundamentals. ”, AFA 2012
Meetings, Chicago, USA.
Da, Z., Engelberg, J., and Gao, P., 2011b, “In Search of Attention,” The Journal of
Finance, Vol. 66, No. 5, 1461-1499.
Edwards, S., Biscarri, J. G., and Pérez de Gracia, F., 2003, “Stock Market Cycles, Financial
Liberalization and Volatility,” Journal of International Money and Finance, Vol.
22, No. 7, 925-955.
Fama, E. F. and French, K. R., 1993, “Common Risk Factors in the Returns on Stocks and
Bonds,” Journal of Financial Economics, Vol. 25, No. 1, 3-56.
Fang, L. and Peress, J., 2009, “Media Coverage and the Cross-section of Stock Returns,”
The Journal of Finance, Vol. 64, No. 5, 2023-2052.
Galbraith, J. K., 2009, The Great Crash 1929, 1st, Boston: Houghton Mifflin Harcourt.
Hou, K., Peng, L., and Xiong, W., 2008, “A Tale of Two Anomalies: the Implications of
Investor Attention for Price and Earnings Momentum.” Working Paper, The Ohio
State University.
Keynes, J. M., 2006, General Theory of Employment, Interest and Money, 1st, New
Delhi, IN: Atlantic Publishers & Dist.
Lou, D., 2014, “Attracting Investor Attention through Advertising,” Review of Financial
Studies, Vol. 27, No. 6, 1797-1829.
Merton, R. C., 1987, “A Simple Model of Capital Market Equilibrium with Incomplete
Information,” The Journal of Finance, Vol. 42, No. 3, 483-510.
Mondria, J. and Wu, T., 2011, “Asymmetric Attention and Stock Returns. ”, AFA 2012
Meetings, Chicago, USA.
Pagan, A. R. and Sossounov, K. A., 2003, “A Simple Framework for Analysing Bull and Bear Markets,” Journal of Applied Econometrics, Vol. 18, No. 1, 23-46.
Shiller, R. J., 1992, Market Volatility, 1st, Cambridge, MA: MIT press.
Siegel, J. J., 1998, Stocks for the Long Run: the Definitive Guide to Financial Market
Returns and Long-term Investment Strategies, 5th, New York: McGraw-Hill.
Vlastakis, N. and Markellos, R. N., 2012, “Information Demand and Stock Market
Volatility,” Journal of Banking & Finance, Vol. 36, No. 6, 1808-1821.