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Google search volume as a proxy of investor attention : are previous findings robust?

Pancada, Joao Tanissa
Master thesis
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URI
http://hdl.handle.net/11250/2479644
Date
2017
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  • Master of Science [1116]
Abstract
I assess the robustness to different periods and panel models of several findings

in the literature that uses Google search volume as an investor attention proxy. With

all S&P 500 stocks between 2004 and 2016, I confirm that weekly search volume

is persistent and increases are associated with high share turnover as well as

earnings announcements. When the CCEMG estimator of Pesaran (2006) is used, I

find evidence against Da et al. (2011) but consistent with Barber and Odean (2008).

Even for large stocks, surges in people’s attention predict positive abnormal returns

one week ahead, which reverse within one year. I conclude the literature should

adopt panel estimators more robust to the presence of both firm and time effects.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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