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About When Do Retail Investors Trade? Sentiment, Attention and Overnight Returns
This thesis examines the relationship between investor sentiment, attention, and overnight stock returns using Google search data. It constructs two indices: 1) a Sentiment Revealed by Search (SRBS) index to measure sentiment based on search volumes for terms like "bankruptcy" and "recession", and finds no relationship between this index and overnight returns. 2) An Abnormal Ticker Search Volume Index (ATSVI) to measure attention to individual stocks, and finds high ATSVI is associated with higher absolute overnight returns, suggesting retail investors trade attention-grabbing stocks. This provides evidence that retail investors trade on attention to individual stocks rather than en masse based on overall market sentiment. The thesis demonstrates the usefulness of search
Detailed Information
| Author: | ['Niek Visscher'] |
|---|---|
| Publication Year: | 2016 |
| Pages: | 30 |
| Language: | English |
| Format: | |
| Price: | FREE |
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