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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
FUCAPE Business School
2020-01-01
|
| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123064464003 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1825207269830164480 |
|---|---|
| author | Claudia Yoshinaga Fabio Rocco |
| author_facet | Claudia Yoshinaga Fabio Rocco |
| author_sort | Claudia Yoshinaga |
| collection | DOAJ |
| 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 |
| id | doaj-art-707ca2b591794d18a856b9966955d6da |
| institution | Kabale University |
| issn | 1807-734X |
| language | English |
| publishDate | 2020-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj-art-707ca2b591794d18a856b9966955d6da2025-02-06T23:39:33ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2020-01-0117552353910.15728/bbr.2020.17.5.3Investor Attention: Can Google Search Volumes Predict Stock Returns?Claudia YoshinagaFabio RoccoThis 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.http://www.redalyc.org/articulo.oa?id=123064464003investmentsabnormal returnsinefficient marketsbehavioral financeprice anomaly |
| spellingShingle | Claudia Yoshinaga Fabio Rocco Investor Attention: Can Google Search Volumes Predict Stock Returns? BBR: Brazilian Business Review investments abnormal returns inefficient markets behavioral finance price anomaly |
| title | 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_short | Investor Attention: Can Google Search Volumes Predict Stock Returns? |
| title_sort | investor attention can google search volumes predict stock returns |
| topic | investments abnormal returns inefficient markets behavioral finance price anomaly |
| url | http://www.redalyc.org/articulo.oa?id=123064464003 |
| work_keys_str_mv | AT claudiayoshinaga investorattentioncangooglesearchvolumespredictstockreturns AT fabiorocco investorattentioncangooglesearchvolumespredictstockreturns |