Existing studies have found that online search is a revealed measure for investor attention and a useful predictor of stock returns. We study the heterogeneity in retail investor attention by comparing search conducted on weekdays vs. weekends and investigate the price pressure channel and information processing channel for stock return predictability. According to the information processing channel, weekends afford retail investors more time for the intensive cognitive analysis necessary to make better predictions. Alternatively, weekend search might better capture the price pressure from retail investors’ trading activities. We provide empirical results that support the information processing channel. We first show that weekend search, rather than weekday search, predicts large-cap stock returns in both the cross-section and time series. Additionally, our findings on retail trading activity contradict the price pressure channel in that weekday search, rather than weekend search, leads to a subsequent retail order imbalance. Overall, our study contributes to the literature on the predictive power of online search on stock returns, which has mainly focused on the price pressure channel, which yields significant results for small-cap stocks only.

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现有研究发现，在线搜索是衡量投资者关注度的一个显着指标，也是一个有用的股票回报预测指标。我们通过比较工作日与周末进行的搜索来研究散户投资者注意力的异质性，并调查股票收益可预测性的价格压力通道和信息处理通道。根据信息处理渠道，周末为散户投资者提供了更多时间进行深入的认知分析，以便做出更好的预测。或者，周末搜索可能会更好地捕捉来自散户投资者交易活动的价格压力。我们提供支持信息处理通道的实证结果。我们首先表明，周末搜索而不是工作日搜索可以预测横截面和时间序列中的大盘股回报。此外，我们对零售交易活动的调查结果与工作日搜索而非周末搜索中的价格压力通道相矛盾，导致随后的零售订单失衡。总的来说，我们的研究为关于在线搜索对股票回报的预测能力的文献做出了贡献，这些文献主要集中在价格压力通道上，这只对小盘股产生了显着的结果。