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Turnover, extreme returns, news and advertising expense are indirect proxies of investor attention. In contrast, the authors propose a direct measure of investor demand for attention - active attention - using search frequency in Google (SVI). SVI captures investor attention on a more timely basis. SVI allows to shed new light on how retail investor attention affects the returns to IPO stocks and price momentum strategies. Using retail order execution in SEC Rule 11Ac1-5 reports, they establish a strong and direct link between SVI changes and trading by less sophisticated individual investors. Increased retail attention as measured by SVI during the IPO contributes to the large first-day return and long-run underperformance of IPO stocks.
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