In Search of Concepts: The Effects of Speculative Demand on Stock Returns
利用投资者对投资概念的在线搜索兴趣构建投机需求代理指标，研究其对中国股票收益的影响，发现投机需求随市场上涨而增加并预测后续收益反转，且对散户主导的A股影响更大。
Abstract Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand affects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.