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Changes in Investors' Market Attention and Near-Term Stock Market Returns
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
2016 (English)In: The journal of behavorial finance, ISSN 1542-7560, E-ISSN 1542-7579, Vol. 17, no 1, 18-30 p.Article in journal (Refereed) Published
Abstract [en]

We use Google Search volume to track changes investors’ positive and negative market attention. Our results support the hypothesis that this information reflects investors’ optimistic and pessimistic anticipation and can be used to predict near-term future returns. We find that changes in negative search term volume of “market crash” and “bear market” and changes in positive search term volume “market rally” explain near-term stock returns. Changes in investors’ attention are partly related to past stock market returns implying that investors are prone to pay attention to possible price reversals. These measures of market attention are potential gauges of investor sentiment.

Place, publisher, year, edition, pages
2016. Vol. 17, no 1, 18-30 p.
Keyword [en]
Investor sentiment, Stock market, Returns, Google search volume, Market attention
National Category
Business Administration
URN: urn:nbn:se:su:diva-112214DOI: 10.1080/15427560.2016.1133620ISI: 000372109500002OAI: diva2:778441
Available from: 2015-01-10 Created: 2015-01-10 Last updated: 2016-04-12Bibliographically approved

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Peltomäki, Jarkko
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Stockholm Business School
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