TY - UNPD A1 - Storms, Konstantin A1 - Kapraun, Julia A1 - Rudolf, Markus T1 - In search of alpha N2 - In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy generates 19% average annual return and thereby outperforms a simple market buy-and-hold strategy. After controlling for the well-known risk factors, a significant alpha (abnormal return) of 10% p.a. remains. Returns are sufficiently large to cover transaction costs. KW - Anlegerinteresse KW - Investor attention KW - Suchmaschine KW - Search engine KW - Datenvolumen KW - Data volume KW - Handelsstrategie KW - Trading strategy Y1 - 2015 UR - https://opus4.kobv.de/opus4-whu/frontdoor/index/index/docId/696 UR - https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-6966 PB - WHU - Otto Beisheim School of Management CY - Vallendar ER -