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  • Zhi Da, Joseph Engelberg, Pengjie Gao, Nick Barberis, Robert Battalio, Andriy Bodnaruk +33 others
  • 2011
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)
Asset price bubbles, that is, asset prices that exceed the assets' fundamental value, have always been a subject of interest to economists. Clear identification of a price bubble is challenging, however, due to the difficulty in measuring an asset's fundamental value. There is an open debate about whether each historical episode constitutes a bubble. For(More)
The market dynamics of technology stocks in the late 1990s have stimulated a growing body of theory that analyzes the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines several implications of these theories using a unique data sample from a market with stringent short-sales constraints(More)
Do demographic patterns affect stock returns across industries? While there is a substantial literature on the impact of demographic fluctuations on aggregate stock returns (Gurdip S. is little evidence on the effect of demographics on cross-sectional returns. In this paper, we investigate this relationship. We analyze the impact of shifts in cohort sizes(More)
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