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Does a search attention index explain portfolio returns in India?

Munusamy Dharani, M. Kabir Hassan Orcid Logo, Abedin Abedin, Mohd Adib Ismail Orcid Logo

Borsa Istanbul Review, Volume: 22, Issue: 2, Pages: 226 - 239

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1016/j.bir.2021.04.003

Abstract

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high for...

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Published in: Borsa Istanbul Review
ISSN: 2214-8450
Published: Elsevier BV 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa64270
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Abstract: Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high for stocks with higher search intensity and low for stocks with lower search intensity. Further, the study observes that, when the SAI is high, the excess returns are high for stocks with a high value, high volatility, and high sensitivity. Interestingly, the study documents that in the Indian market investor attention is irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess return of stocks as well as the market, size, value, and momentum factors.
Keywords: Asset pricing, Google search volume index, Investor sentiment, Stock market
College: Faculty of Humanities and Social Sciences
Issue: 2
Start Page: 226
End Page: 239

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