Investor attention for retail and institutional investors: a test on the real estate market
| Published date | 05 July 2013 |
| DOI | https://doi.org/10.1108/JPIF-10-2012-0048 |
| Date | 05 July 2013 |
| Pages | 314-328 |
| Author | Gianluca Mattarocci,Georgios Siligardos |
| Subject Matter | Property management & built environment |
ACADEMIC PAPER
ERES 2012 – JPIF JOINT AWARD WINNER,
BEST PAPER IN REAL ESTATE FINANCE
Investor attention for retail and
institutional investors: a test on
the real estate market
Gianluca Mattarocci
Department of Economics and Finance, University of Rome Tor Vergata,
Rome, Italy, and
Georgios Siligardos
University of Rome Tor Vergata, Rome, Italy
Abstract
Purpose – The paper aims to investigate the relationship between different investor attention
proxies for different types of funds (retail vs institutional ones) looking at a sample of real estate funds.
Design/methodology/approach – The authors collect data about searching frequency on Google
and all the news published in Italian specialized newspapers for a set of real estate funds. Following
the approach proposed by Da, Engelberg and Gao, the authors construct a set of attention proxies and
they compare the ranking with some summary statistics and evaluate the causality relationship
among them using a Granger causality test.
Findings – Resultsdemonstrate that online searchfrequency is relevant for both institutionaland retail
funds andnormally internet data are able to anticipatethe news that will be publishedin the newspapers.
Research limitations/implications – The analysis proposed is focused only on a small real estate
market (Italy) where funds are specialized for the type of investor. A wider database can allow
excluding that results achieved are biased by the specific features of the market analysed.
Practical implications – The role of internet proxies attention measures also for institutional
investors demonstrate that the managing companies offering financial instruments reserved to
institutional investors should consider both channels of information – newspapers and the internet –
to measure any positive or negative sign of investor attention to their products.
Originality/value – The article represents the first analysis of investor attention proxies on the real
estate market and the first comparison of investor attention proxies for retail and institutional
investors.
Keywords Investor attentionmeasures, Retail funds, Institutionalfunds, Investors, Retailing
Paper type Research paper
1. Introduction
Attentionis a scarce cognitive resource(Kahneman, 1973) and investors’limited attention
can affect assetpricing statics as well as dynamics(Peng and Xiong, 2006). The literature
on investor attention proposes indirect measures based on market data and direct
measuresbased on newspapers or web sites.Indirect measures areconstructed on extreme
returns(Barber and Odean,2008), abnormal tradingvolume (Gervais et al.,2001), and price
The current issue and full text archive of this journal is available at
www.emeraldinsight.com/1463-578X.htm
Received June 2012
Accepted November 2012
Journal of Property Investment &
Finance
Vol. 31 No. 4, 2013
pp. 314-328
qEmerald Group Publishing Limited
1463-578X
DOI 10.1108/JPIF-10-2012-0048
JPIF
31,4
314
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