Web search volume acceleration and cross-sectional returns

Baochen Yang, Xianli Duan and Yao Ma

Research in International Business and Finance, 2023, vol. 66, issue C

Abstract: This study examines the effect of web search volume acceleration (WSVA) on predicting future stock returns. We find that WSVA can significantly and negatively predict future stock returns in the Chinese stock market. After controlling for firm characteristics and changing the WSVA measurement, the negative return predictability of WSVA is still significant, and WSVA provides more predictive information than is contained in the web search volume speed (WSVS). Our empirical results are unable to be explained by existing common risk factors. We find that the return predictability of WSVA becomes stronger for stocks that grab higher investor attention, during higher investor sentiment period, and for stocks that face higher limits of arbitrage, which supports for stock mispricing theory in behavioral finance.

Keywords: Web search volume acceleration; Cross-sectional returns; Mispricing; Return predictability (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001927

DOI: 10.1016/j.ribaf.2023.102066

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