Abstract
The author constructs a direct measure of investor attention toward global benchmark indices using Google search volume and empirically examines its impact on stock returns. The author documents a significant decrease in index returns following an increase in investor attention. This result is consistent with the investor recognition hypothesis (Merton [1987]) and the finding of no-media premium in the United States (Fang and Peress [2009]). Additional tests suggest that the attention effect may be attributable to local and U.S. investors. Finally, such negative effect of attention is found to be strengthened (weaken) in the market with positive (negative) sentiments.
| Original language | English |
|---|---|
| Pages (from-to) | 358-372 |
| Number of pages | 15 |
| Journal | Journal of Behavioral Finance |
| Volume | 18 |
| Issue number | 3 |
| Early online date | 15 Jun 2017 |
| DOIs | |
| Publication status | Published - 3 Jul 2017 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2017 The Institute of Behavioral Finance.
Funding
The work described in this paper was partially supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (UGC/FDS16/B04/15). All errors remain the author's own responsibility.
Keywords
- Geography
- Google search volume
- Investor attention
- Stock returns