Browsing by Author "Cruz, Miriam Daniel"
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- Beyond the numbers : the role of attention in stock returnsPublication . Cruz, Miriam Daniel; Schliephake, EvaThis paper investigates whether the Abnormal Google Search Volume Index (ASVI) predicts Abnormal Returns in the Nasdaq-100, using the company9s names combined with the word 8stock9 as a keyword. Analysing data from all Nasdaq-100 stocks between 2019 and 2023, with weekly frequency, I confirm that (1) the ASVI, as a proxy for investor attention, provides unique insights that the other proxies cannot explain, as in Da et al. (2011). Additionally, I find that (2) an increase in investor attention, captured by ASVI, predicts higher short-term abnormal results, with the strongest effects observed during periods of high market volatility, such as during and after the COVID-19 period. Lastly, I find that (3) an increase in ASVI has a stronger impact on the increase of Abnormal Return for technology stocks. These conclusions were mainly based on the CCEMG model, which is particularly suited for analysing macroeconomic shocks. In contrast, GMM cannot capture these effects without further adjustments.