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Investor attention and short-term return reversals

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Abstract
The Google Search Volume Index is proposed as a novel and improved proxy for overreaction as selling winner stocks after they enjoyed a substantial surge in search volume is found to be profitable. It increases the gains of a standard reversal strategy, net of transaction costs, from 17.5 basis points to 34.2 basis points on a weekly basis, corresponding to a 9.1% increase on an annual basis. Furthermore, we report significant alphas in Fama-French-type regressions. The results suggest that most of the reversal profits are made in volatile times, which are typically periods when overreaction is most likely.
Keywords
Price Reversals, Investor Attention, Investor Overreaction, Google Trends

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Citation

Please use this url to cite or link to this publication:

Chicago
Heyman, Dries, Michiel Lescrauwaet, and Hannes Stieperaere. 2019. “Investor Attention and Short-term Return Reversals.” Finance Research Letters 29: 1–6.
APA
Heyman, D., Lescrauwaet, M., & Stieperaere, H. (2019). Investor attention and short-term return reversals. Finance Research Letters, 29, 1–6.
Vancouver
1.
Heyman D, Lescrauwaet M, Stieperaere H. Investor attention and short-term return reversals. Finance Research Letters. Elsevier BV; 2019;29:1–6.
MLA
Heyman, Dries, Michiel Lescrauwaet, and Hannes Stieperaere. “Investor Attention and Short-term Return Reversals.” Finance Research Letters 29 (2019): 1–6. Print.
@article{8607943,
  abstract     = {The Google Search Volume Index is proposed as a novel and improved proxy for overreaction as selling winner stocks after they enjoyed a substantial surge in search volume is found to be profitable. It increases the gains of a standard reversal strategy, net of transaction costs, from 17.5 basis points to 34.2 basis points on a weekly basis, corresponding to a 9.1\% increase on an annual basis. Furthermore, we report significant alphas in Fama-French-type regressions. The results suggest that most of the reversal profits are made in volatile times, which are typically periods when overreaction is most likely. },
  author       = {Heyman, Dries and Lescrauwaet, Michiel and Stieperaere, Hannes},
  issn         = {1544-6123},
  journal      = {Finance Research Letters},
  pages        = {1--6},
  publisher    = {Elsevier BV},
  title        = {Investor attention and short-term return reversals},
  url          = {http://dx.doi.org/10.1016/j.frl.2019.03.003},
  volume       = {29},
  year         = {2019},
}

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