The Wikipedia Effect: Analyzing Investor Attention for Strategic Investment Decisions

Uses Wikipedia page views to predict stock performance, yielding profitable portfolio returns.

Paper Metadata

• Publication Date: 2025-03-10

• Source: SSRN

• Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5172055

• Authors

  • Chaehyun Pyun (Contact Author), 301 Sparkman Drive, Huntsville, AL 35899, United States;

Keywords

• Wikipedia

• Investor attention

• Investment portfolios

• Stock returns

Notes for Review

Recommendation: 95.0%

This paper examines the relationship between Wikipedia page views and stock market performance, demonstrating that firms with increasing page views tend to experience higher stock returns, lower earnings per share, and higher price-to-earnings (P/E) ratios. The study focuses on data from 2016 to 2023, sourced from Quiver Quantitative, and covers firms listed on major U.S. stock exchanges (NYSE & NASDAQ).

• Sectoral Influence: The industries with the highest increase in Wikipedia attention are telecommunications, consumer durables, and high-technology, suggesting that investor interest is concentrated in these sectors.

• Stock Performance Trends: Firms experiencing a surge in Wikipedia views tend to exhibit higher value-weighted and equal-weighted returns. However, earnings per share decline slightly as P/E ratios increase, indicating a possible preference for growth-oriented firms.

• Investment Strategies:

  • A long-short trading strategy based on Wikipedia page view changes outperforms the market and delivers positive abnormal returns.

  • The high-minus-low (H-M-L) portfolio, which buys stocks with the highest increase in Wikipedia views and shorts those with the lowest, generates a statistically significant alpha that traditional risk factors fail to explain.

  • The high-minus-S&P 500 (H-M-S&P) portfolio, which benchmarks performance against the broader market, shows stronger returns but higher volatility.

  • Weekly rebalancing is crucial—monthly rebalancing reduces effectiveness, suggesting that Wikipedia-driven investor attention is a short-term signal.

• Factor Model Analysis:

  • Regression analysis using multiple benchmark models (CAPM, Fama-French three-factor, five-factor, and six-factor models) confirms that the H-M-L portfolio generates persistent alpha at the 5% and 10% statistical significance levels.

  • The results suggest that Wikipedia page views offer unique insights into investor behavior, beyond traditional market indicators.

The paper presents compelling evidence that Wikipedia page views can act as a valuable, data-driven indicator of stock performance. The findings offer actionable insights for traders, portfolio managers, and researchers, particularly in the context of market microstructure and high-frequency trading. By leveraging investor attention metrics, market participants can enhance their investment strategies and risk management frameworks.

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Abstract

The industries with the highest increase in Wikipedia page views are the telecommunications, consumer durables, and high-technology sectors. On average, firms with increasing views have higher returns, lower earnings per share, and higher price-to-earnings ratios. Moreover, long-short investment strategies using changes in Wikipedia page views yield profitable portfolio returns, outperforming the market. Factor model regressions demonstrate that these portfolios exhibit positive abnormal returns relative to various benchmark models. In particular, the high-minus-low portfolio shows statistically significant alphas that common risk factors cannot explain. The findings suggest that changes in firms' Wikipedia page views are a valuable indicator of stock performance.