Does Investor’s Attention Intensify the Earnings Momentum?

Alexander Schiller, René Ojas Woltering and Steffen Sebastian

ERES from European Real Estate Society (ERES)

Abstract: We examine the performance and interaction between earnings momentum and Google search attention using a global sample of 368 property-holding companies from 2005:1 to 2019:9 in the FTSE EPRA/NAREIT Global Real Estate Index. The portfolio returns are analyzed on a risk-adjusted basis employing a Carhart four-factor model. First, we show that high earnings REITs and REITs with high levels of unexpected Google search volume outperform in the subsequent month followed by a long-term reversal. Second, we find that unexpected Google search attention intensifies the earn- ings momentum. Third, we find that the attention-based momentum Granger causes the earnings momentum.

Keywords: Earnings Momentum; Online Search Behavior; REITs (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2023-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2023_75

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