In search of alpha
- 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.
Author: | Konstantin Storms, Julia Kapraun, Markus Rudolf |
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URN: | urn:nbn:de:hbz:992-opus4-6966 |
DOI: | https://doi.org/10.2139/ssrn.2676583 |
Subtitle (English): | trading on limited investor attention |
Publisher: | WHU - Otto Beisheim School of Management |
Place of publication: | Vallendar |
Document Type: | Working Paper |
Language: | English |
Date of Publication (online): | 2015/11/04 |
Date of first Publication: | 2015/11/04 |
Release Date: | 2018/07/09 |
Tag: | Anlegerinteresse; Datenvolumen; Handelsstrategie; Suchmaschine Data volume; Investor attention; Search engine; Trading strategy |
Page Number: | 28 |
Institutes: | WHU Centers / Center of Asset and Wealth Management |
JEL-Classification: | G Financial Economics / G1 General Financial Markets / G12 Asset Pricing; Trading volume; Bond Interest Rates |
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies | |
Licence (German): | Copyright for this publication |