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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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spelling v2 64270 2023-08-31 Does a search attention index explain portfolio returns in India? 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF 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. Journal Article Borsa Istanbul Review 22 2 226 239 Elsevier BV 2214-8450 Asset pricing, Google search volume index, Investor sentiment, Stock market 5 4 2022 2022-04-05 10.1016/j.bir.2021.04.003 http://dx.doi.org/10.1016/j.bir.2021.04.003 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-09-19T16:15:26.9803623 2023-08-31T19:04:13.4780483 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Munusamy Dharani 1 M. Kabir Hassan 0000-0001-6274-3545 2 Abedin Abedin 3 Mohd Adib Ismail 0000-0002-2051-7010 4 64270__28560__b7846d02f7a54daf83d7f8b63aeb6e40.pdf 64270.VOR.pdf 2023-09-18T14:50:19.6013015 Output 770732 application/pdf Version of Record true © 2021 Borsa İstanbul Anonim Şirketi. Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND 4.0). true eng https://creativecommons.org/licenses/by-nc-nd/4.0/
title Does a search attention index explain portfolio returns in India?
spellingShingle Does a search attention index explain portfolio returns in India?
Abedin Abedin
title_short Does a search attention index explain portfolio returns in India?
title_full Does a search attention index explain portfolio returns in India?
title_fullStr Does a search attention index explain portfolio returns in India?
title_full_unstemmed Does a search attention index explain portfolio returns in India?
title_sort Does a search attention index explain portfolio returns in India?
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Munusamy Dharani
M. Kabir Hassan
Abedin Abedin
Mohd Adib Ismail
format Journal article
container_title Borsa Istanbul Review
container_volume 22
container_issue 2
container_start_page 226
publishDate 2022
institution Swansea University
issn 2214-8450
doi_str_mv 10.1016/j.bir.2021.04.003
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.bir.2021.04.003
document_store_str 1
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description 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.
published_date 2022-04-05T16:15:29Z
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score 11.037603

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