Investor Attention: Can Google Search Volumes Predict Stock Returns?

Yoshinaga, Claudia Emiko; Rocco, Fabio

doi:10.15728/bbr.2020.17.5.3

Cited by 4 publications

(7 citation statements)

References 9 publications

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“…The first column of Table 6 shows that private information decreases the stock liquidity, but when this private information interacts with investor attention, it increases the stock liquidity. This confirms our results that increased investor attention is followed by higher stock liquidity, which is reinforced by decreased information asymmetry (Yoshinaga and Rocco, 2020).…”

Section: Robust Analysis 51 Pvt Info Attention and Liquiditysupporting

confidence: 91%

“…A more extensive investment base and more investor interest, according to Tang and Zhu (2017) and Yoshinaga and Rocco (2020), will lower the expected rates of return on “attention-grabbing” equities by reducing estimation risk. Lastly, Smales (2021) too confirms the negative impact of the investors’ attention on stock return who concluded that during the COVID-19 crisis, increased Internet searches result in a quicker flow of information into financial markets, resulted in higher volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

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Impact of information risk and cost of equity: moderating role of investor attention

Saleem

Usman

2021

APJBA

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PurposeThe purpose of this study is to finds out how investor attention plays the moderating role between the relation of information risk and COE by considering the effect of three different types of information risk, that is private information, lack of quality and transparent information.Design/methodology/approachFor that purpose, data is collected from all the non-financial firms listed on PSX from 2007 to 2019. Two-step system GMM dynamic panel estimators are applied to test the dynamic nature of the proposed model.FindingsThe findings of the study show that investor attention reduces these three information risks by increasing the stock liquidity and decreasing the crash risk which ultimately decreases the COE. Also, this study examined the role of investor attention between the relations of information risk and corporate investment in the dynamic panel model, where the two-step system generalized method of the moment has been applied. The finding of the study shows that investor attention stimulates the innovative investment by increasing investor confidence and decreasing the agency conflict.Originality/valueThis study contributes to the literature by providing the novel findings by considering the role of investor attention in reducing the effect of three different types of information risk, that is private information, less quality as well as less transparency of information and further their effect on the cost of equity.

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Section: Robust Analysis 51 Pvt Info Attention and Liquiditysupporting

confidence: 91%

Section: Literature Reviewmentioning

confidence: 99%

Impact of information risk and cost of equity: moderating role of investor attention

Saleem

Usman

2021

APJBA

View full text Add to dashboard Cite

show abstract

“…Similarly, Bijl et al (2016) find that there is “economical value” to use Google Trends when forecasting stock returns. Yoshinaga and Rocco (2020) find that increasing Google search volume has an inverse relationship with stock market returns, while Swamy and Dharani (2019) find a positive relationship. Salisu et al (2021) argue that Google Trends shape investor sentiments and can be used to measure how an investor may predict the behavior of stock market returns.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 92%

The impact of supply chain disruptions on stock market returns during COVID-19

Nguemgaing

Sant’Anna

2021

AFR

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PurposeHow has COVID-19 impacted meat processors' stock returns? The authors evaluate the effects of supply chain disruptions (e.g. lockdowns and COVID-19 incidences among workers) on stock market prices of meat processors during the COVID-19 pandemic.Design/methodology/approachThis study uses an event study approach to examine the disruptions from COVID-19 through events such as plant shutdowns, the pandemic announcement, lockdown dates and the first case of COVID-19 outbreaks in meat processing plants. The dataset includes S&P 500, Google Trends, financial beta and data collected for 14 US publicly traded meat processing companies.FindingsResults show that nationwide events (e.g. announcement of the pandemic) had no statistically significant impact on average abnormal returns of meat processing companies. Individually, however, firms experienced negative abnormal returns. COVID-19-related events in individual meat processing companies had a temporary negative abnormal return in the days prior to the event.Originality/valueThis study has two main contributions. First, the authors estimate the effect of COVID-19 on the returns of meat processors. Second, the authors use Google Trends to estimate the expected stock markets returns of meat processing companies. This study provides insight to investors on the behavior of industry returns from events such as outbreaks that affect human health.

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“…Specifically, the search queries on the term “Bitcoin” (being the most popular VC) on Wikipedia are treated as the proxy for investor attention. The growth rate of page views is calculated on a daily basis as follows (Yoshinaga and Rocco, 2020): where:…”

Section: Methodsmentioning

confidence: 99%

“…Investor attention has been studied in the context of traditional financial markets such as the stock market and foreign exchange market and has been proven to be an influential factor in certain markets. According to Yoshinaga and Rocco (2020), it is important to understand the association between investor attention and future stock returns when devising investment strategies. This is because any person who can successfully predict the effect of a rise or fall in investor attention on future performance should consider this market anomaly.…”

Section: Moderating Role Of Investor Attentionmentioning

confidence: 99%

Influence of virtual currency development and investor attention on financial stocks’ value: evidence from selected Asian equity markets

Ang

Chow

2022

JFRC

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Purpose The purpose of this study is to examine the influence of virtual currency (VC) development on financial stocks’ value in selected Asian equity markets and the moderating role of investor attention on this relationship. Design/methodology/approach The pooled ordinary least squares regression is used on a sample of 138 listed financial firms from four emerging Asian countries for the period 2016–2020. Findings This study finds that changes in VC values have greater spillover effects on the values of financial stocks in countries which do not recognize the legitimacy of VCs than in countries which do, due to the lack of breadth and depth of the former markets. Moreover, this paper also reports evidence of the greater moderating role of investor attention on this relationship in countries which do not recognize the legitimacy of VCs than in countries which do. Originality/value Although numerous studies have been conducted on the influence of VCs on stock performance, majority of these studies did not distinguish whether the sample countries being studied actually recognize the legitimacy of VC transactions or not. Moreover, extant literature has not considered the moderating role of investor attention on this relationship. It is the aim of this study to address these research voids by using a refined three-factor theory model of capital asset pricing model incorporating VCs to better represent stock performance in the digital economy era.

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Investor Attention: Can Google Search Volumes Predict Stock Returns?

Cited by 4 publications

References 9 publications

Impact of information risk and cost of equity: moderating role of investor attention

Impact of information risk and cost of equity: moderating role of investor attention

The impact of supply chain disruptions on stock market returns during COVID-19

Influence of virtual currency development and investor attention on financial stocks’ value: evidence from selected Asian equity markets

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