Aggregate Retail/Institutional Attention data: Download Here
If you use this data, please cite the following paper, which develops the aggregate retail and institutional attention measure:
Zhi Da, Jian Hua, Tim Chih-Ching Hung, and Lin Peng, Market Returns and a Tale of Two Types of Attention, Management Science, forthcoming, https://doi.org/10.1287/mnsc.2023.01294.
Published version, working paper version
Abstract: We provide novel evidence that aggregate investor attention to stocks predicts marketwide returns, but with a striking difference across investor clienteles. Daily aggregate retail attention (ARA) negatively predicts one-week-ahead market returns, is associated with aggregate retail order imbalance and flows to equity mutual funds, and exhibits a stronger predictability during periods of high marketwide uncertainty, poor liquidity, or more costly short selling. In contrast, aggregate institutional attention (AIA), when observed before major news announcements, positively predict future marketwide returns. In cross-sectional analysis, we show that the predictability is stronger for ARA among illiquid stocks and for AIA among high-beta stocks. The predictability results are robust out-of-sample and correspond to meaningful expected utility gains even for diversified investors. The findings are consistent with the idea that attention-driven retail buying can generate an aggregate price pressure on the stock market, whereas institutional attention precedes the resolution of marketwide uncertainty and the accrual of risk premiums.
Social-Proximity-to-Capital (SPC) data: Download Here
If you use this data, please cite the following paper, which develops the SPC measure:
Theresa Kuchler, Yan Li, Lin Peng, Johannes Stroebel, Dexin Zhou, Social Proximity to Capital: Implications for Investors and Firms, The Review of Financial Studies, Volume 35, Issue 6, June 2022, Pages 2743–2789, https://doi.org/10.1093/rfs/hhab111.
Published version, working paper version
Abstract: We show that institutional investors are more likely to invest in firms from regions to which they have stronger social ties but find no evidence that these investments earn a differential return. Firms in regions with stronger social ties to locations with many institutional investors have higher valuations and liquidity. These effects are largest for small firms with little analyst coverage, suggesting that the investors’ behavior is explained by their increased awareness of firms in socially proximate locations. Our results highlight that the social structure of regions affects firms’ access to capital and contributes to geographic differences in economic outcomes.