Forecasting Abnormal Stock Returns and Trading Volume Using Investor Sentiment : Evidence from Online Search ?

@inproceedings{Joseph2011ForecastingAS,
  title={Forecasting Abnormal Stock Returns and Trading Volume Using Investor Sentiment : Evidence from Online Search ?},
  author={Kissan Joseph and M. Babajide Wintoki and Zelin Zhang},
  year={2011}
}
We examine the ability of online ticker searches (e.g. XOM for Exxon Mobil) to forecast abnormal stock returns and trading volumes. Specifically, we argue that online ticker search serves as a valid proxy for investor sentiment – a set of beliefs about cash flows and investments risks that are not necessarily justified by the facts at hand – which is generally associated with less sophisticated, retail investors. Based on prior research on investor sentiment, we expect online search intensity… CONTINUE READING
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