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Beyond the numbers : the role of attention in stock returns

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Resumo:This paper investigates whether the Abnormal Google Search Volume Index (ASVI) predicts Abnormal Returns in the Nasdaq-100, using the company9s names combined with the word 8stock9 as a keyword. Analysing data from all Nasdaq-100 stocks between 2019 and 2023, with weekly frequency, I confirm that (1) the ASVI, as a proxy for investor attention, provides unique insights that the other proxies cannot explain, as in Da et al. (2011). Additionally, I find that (2) an increase in investor attention, captured by ASVI, predicts higher short-term abnormal results, with the strongest effects observed during periods of high market volatility, such as during and after the COVID-19 period. Lastly, I find that (3) an increase in ASVI has a stronger impact on the increase of Abnormal Return for technology stocks. These conclusions were mainly based on the CCEMG model, which is particularly suited for analysing macroeconomic shocks. In contrast, GMM cannot capture these effects without further adjustments.
Autores principais:Cruz, Miriam Daniel
Assunto:Abnormal google search volume index Investor attention Abnormal return Covid-19 pandemic Technology stocks Anormal índice de volume de pesquisas do Google Atenção dos investidores Retornos anormais Pandemia de Covid-19 Ações tecnológicas
Ano:2025
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade Católica Portuguesa
Idioma:português
Origem:Veritati - Repositório Institucional da Universidade Católica Portuguesa

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