Investor Attention: Can Google Search Volumes Predict Stock Returns?

This paper investigates the role of investor attention in predicting future stock market returns for Brazilian stocks using Google Search Volume (GSV). We tested whether lagged variations in GSV are followed by changes in excess returns by testing 57 stocks from the Ibovespa using weekly search data...

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Autores principales:	Claudia Yoshinaga, Fabio Rocco
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2020
Materias:	investments abnormal returns inefficient markets behavioral finance price anomaly Business HF5001-6182
Acceso en línea:	https://doaj.org/article/707ca2b591794d18a856b9966955d6da
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spelling	oai:doaj.org-article:707ca2b591794d18a856b9966955d6da2021-11-11T15:48:08ZInvestor Attention: Can Google Search Volumes Predict Stock Returns?1807-734X10.15728/bbr.2020.17.5.3https://doaj.org/article/707ca2b591794d18a856b9966955d6da2020-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123064464003https://doaj.org/toc/1807-734XThis paper investigates the role of investor attention in predicting future stock market returns for Brazilian stocks using Google Search Volume (GSV). We tested whether lagged variations in GSV are followed by changes in excess returns by testing 57 stocks from the Ibovespa using weekly search data from Google Brazil from 2014 to 2018. Similar to previous research on the U.S. market, we found that increases in GSV are followed by lower excess returns. Additionally, we show that the more traded a stock is, the higher the effect. This is consistent with the hypothesis that higher individual investor attention leads to lower subsequent returns, suggesting that increasing popularity causes stock prices to deviate from their fundamental value.Claudia YoshinagaFabio RoccoFUCAPE Business Schoolarticleinvestmentsabnormal returnsinefficient marketsbehavioral financeprice anomalyBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 17, Iss 5, Pp 523-539 (2020)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	investments abnormal returns inefficient markets behavioral finance price anomaly Business HF5001-6182
spellingShingle	investments abnormal returns inefficient markets behavioral finance price anomaly Business HF5001-6182 Claudia Yoshinaga Fabio Rocco Investor Attention: Can Google Search Volumes Predict Stock Returns?
description	This paper investigates the role of investor attention in predicting future stock market returns for Brazilian stocks using Google Search Volume (GSV). We tested whether lagged variations in GSV are followed by changes in excess returns by testing 57 stocks from the Ibovespa using weekly search data from Google Brazil from 2014 to 2018. Similar to previous research on the U.S. market, we found that increases in GSV are followed by lower excess returns. Additionally, we show that the more traded a stock is, the higher the effect. This is consistent with the hypothesis that higher individual investor attention leads to lower subsequent returns, suggesting that increasing popularity causes stock prices to deviate from their fundamental value.
format	article
author	Claudia Yoshinaga Fabio Rocco
author_facet	Claudia Yoshinaga Fabio Rocco
author_sort	Claudia Yoshinaga
title	Investor Attention: Can Google Search Volumes Predict Stock Returns?
title_short	Investor Attention: Can Google Search Volumes Predict Stock Returns?
title_full	Investor Attention: Can Google Search Volumes Predict Stock Returns?
title_fullStr	Investor Attention: Can Google Search Volumes Predict Stock Returns?
title_full_unstemmed	Investor Attention: Can Google Search Volumes Predict Stock Returns?
title_sort	investor attention: can google search volumes predict stock returns?
publisher	FUCAPE Business School
publishDate	2020
url	https://doaj.org/article/707ca2b591794d18a856b9966955d6da
work_keys_str_mv	AT claudiayoshinaga investorattentioncangooglesearchvolumespredictstockreturns AT fabiorocco investorattentioncangooglesearchvolumespredictstockreturns
_version_	1718433894385057792

Investor Attention: Can Google Search Volumes Predict Stock Returns?

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