6533b874fe1ef96bd12d63d3
RESEARCH PRODUCT
Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market
Francisca BeerMohamed ZouaouiFabrice Hervésubject
Index (economics)Financial economicsbusiness.industryGoogle TrendsInvestor sentimentBrotherStock returnsjel:G0Google Trends Investor sentiment VAR model Stock returnsjel:G1Noise traderEconomics[SHS.GESTION]Humanities and Social Sciences/Business administrationStock marketThe InternetPredictabilitybusiness[ SHS.GESTION ] Humanities and Social Sciences/Business administration[SHS.GESTION] Humanities and Social Sciences/Business administrationMutual funddescription
International audience; This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2013-01-01 |