2011/09/21 by ZHI DA, Zhi Da, JOSEPH ENGELBERG +3 · 19 citations
Economics, Econometrics and Finance · Business, Management and Accounting · Decision Sciences · #Financial Markets and Investment Strategies #Auditing, Earnings Management, Governance #Decision-Making and Behavioral Economics
paper · pdf · doi:10.1111/j.1540-6261.2011.01679.x
ABSTRACT We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the attention of retail investors. An increase in SVI predicts higher stock prices in the next 2 weeks and an eventual price reversal within the year. It also contributes to the large first‐day return and long‐run underperformance of IPO stocks.