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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)
CEOs with large networks earn more than those with small networks. An additional connection to an executive or director outside the firm increases compensation by about $17,000 on average, more so for " important " members, such as CEOs of big firms. Pay-for-connectivity is unrelated to several measures of corporate governance, evidence in favor of an(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 firms in industry clusters – those in both the same industry and geographic area – have market prices that are more efficient than firms outside clusters. We argue this is the case because geography allows for information spillovers, reducing the marginal cost to information producers like analysts and fund managers. To support the view, we(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)