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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.

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Metadaten
Author:Konstantin Storms, Julia Kapraun, Markus Rudolf
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