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We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the(More)
We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., " recession, " " unemployment, " and " bankruptcy "), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004(More)
We introduce a bidding strategy which allows the seller to extract the full surplus of the high bidder in eBay auctions. We call this a "Discover-and-Stop" bidding strategy and estimate that 1.39% of all bids in eBay auctions are placed by sellers (or accomplices) who execute this strategy. We argue that this kind of shill bidding is unnecessarily e¤ective(More)
When banks and firms are connected through interpersonal linkages – such as their respective management having attended college or previously worked together – interest rates are markedly reduced, comparable with single shifts in credit ratings. These rate concessions do not appear to reflect sweetheart deals. Subsequent firm performance, such as future(More)
Disentangling the causal impact of media reporting from the impact of the events being reported is challenging. We solve this problem by comparing the behaviors of investors with access to different media coverage of the same information event. We use zip codes to identify 19 mutually exclusive trading regions corresponding with large U.S. cities. For all(More)
Combining a database of short sellers' trading patterns with a database of news releases, we show that short sellers' trading advantage comes largely from their ability to analyze publicly available information. Specifically, the prior finding that short sellers' trades predict future negative returns (e. (2005)) is more than twice as strong in the presence(More)
We find that a small set of financial columnists has a causal effect on short-term aggregate stock market prices. For some journalists (" bulls ") the market reaction is consistently positive, whereas for others (" bears ") it is negative. Because bulls and bears are rotated exogenously in our setting, we can make causal inferences about the media's impact(More)
Using individual patient records for every hospital in California from 1983-2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, or major depression. The effect is nearly instantaneous (within the same day), suggesting that anticipation over future(More)