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dc.contributor.authorPancada, Joao Tanissa
dc.date.accessioned2018-01-25T12:01:06Z
dc.date.available2018-01-25T12:01:06Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/11250/2479644
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017nb_NO
dc.description.abstractI 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.nb_NO
dc.language.isoengnb_NO
dc.publisherBI Norwegian Business Schoolnb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.subjectfinancial economicsnb_NO
dc.titleGoogle search volume as a proxy of investor attention : are previous findings robust?nb_NO
dc.typeMaster thesisnb_NO


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