Publicação
Exploring the predictive power of Google searches over the US stock market
| dc.contributor.advisor | Prado, Melissa | |
| dc.contributor.author | Sàágua, João Guilherme Martins Borges | |
| dc.date.accessioned | 2014-03-18T17:06:13Z | |
| dc.date.available | 2014-03-18T17:06:13Z | |
| dc.date.issued | 2014-01 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | por |
| dc.description.abstract | This paper takes search intensity for stock tickers in Google (SVI) as a direct measure of retail investor attention and assesses whether it holds predictive power over short-term market outcomes. In a sample of the most representative US stocks, during the period 2005 – 2008, I provide evidence that (1) surges of investor attention forecast higher stock liquidity and volatility; (2) depending severely on what is considered an abnormal level of SVI, retail investor attention can also be priced; and (3) SVI does not relate to firm-specific features, such as size and value. Furthermore, I extend the investigation to the aggregate market level, finding that investor attention to the market index predicts greater market liquidity, volatility and return. | por |
| dc.identifier.tid | 201474638 | |
| dc.identifier.uri | http://hdl.handle.net/10362/11694 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | no | por |
| dc.publisher | NSBE - UNL | por |
| dc.subject | Investor attention | por |
| dc.subject | Search data | por |
| dc.subject | Stock market predictability | por |
| dc.subject | Noise trading | por |
| dc.title | Exploring the predictive power of Google searches over the US stock market | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |