Investor Attention for Retail and Institutional Investors : A Test on the Real Estate Market

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 – Results demonstrate that online search frequency is relevant for both institutional and retail funds and normally internet data are able to anticipate the news that will be published in 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