Online Search: Identifying New Investment Habitats

摘要

Researchers often refer to investment habitats/categories to explain the patterns of co-movement 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 co-viewing 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.