Investigating proxies for retail investor attention in financial markets

Abstract Investor attention influences financial markets but “depends on where you search” (Ben‐Rephael et al., The Review of Financial Studies , 2017, 30, 3009). We explore various retail investor attention proxies and their correlations with company characteristics and market reactions. Individually, retail attention proxies have a similar positive association with post‐earnings cumulative abnormal returns; however collectively, only abnormal Twitter (now X) attention remains significant after accounting for other retail attention metrics. Simultaneously high abnormal attention in all proxies captures a subsample that exhibits a post‐earnings announcement drift, contradicting the hypothesis that higher investor attention attenuates such drifts. Using vector autoregression, we find Twitter attention leads other retail attention proxies.