FORECASTING VOLUME AND PRICE IMPACT OF EARNINGS SURPRISES USING GOOGLE INSIGHTS

Jedediah Baker

The International Journal of Business and Finance Research, 2016, vol. 10, issue 4, 53-62

Abstract: This paper examines the predictability of price and volume movements using Google Insights on equities exhibiting earnings surprise and the association with pre-announcement information searching. The motivation for this paper is to answer two primary research questions. First of all, using more recent stocks earnings surprise, is Google search data a good indicator of investor interest prior to the earnings announcement? Second does the Google data add to the predictability of post earnings volume and pricing direction? Data on earnings surprise were taken from Yahoo Finance and Google search volume data were taken from the Google trends website. While the results found in the analyses above are not highly convincing regarding Google trends data and price movement from earnings surprise, the results on the volume models yielded promising (i.e. significant) results. Moreover, Mean Absolute Error was reduced by approximately 8% when incorporating the Google trends data on volume predictions

Keywords: Predictability; Volume Movements; Earnings Surprise; Google (search for similar items in EconPapers)
JEL-codes: G17 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:53-62

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