Behavioural Attention to Financial Indicators: Evidence from Google Trends Data
Year: 2019 Volume: 69 Issue: 5 Pages: 440-462
Abstract: We investigate the link between stock returns, market risks, financial indicators and behavioural attention, which represents supply and demand for the selected assets. We assume that behavioural attention represents actions emphasising the importance of information followed by information-selection behaviour. Using a rich dataset of 100 US stocks we show the impact of financial ratios along with indicators related to dividends on stock returns. Moreover, we find evidence that stock returns are influenced by behavioural attention based on the level of search intensity. The results show that behavioural attention to stock (share) prices is positively associated with stock returns, attention varies across the sectors and during the financial crisis, attention began to be significant.
JEL classification: G4
Keywords: behavioural attention, behavioural finance, rational inattention
RePEc: xxx
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