Tax News: Evidence from Google Searches and News Coverage

• Published in: Finance a úvěr 2023-01, Vol.73 (4), p.330-350
• Main Authors: Kapounek, Svatopluk, Stejskalova, Jolana
• Format: Article
• Language: English
• Subjects: Behavior; Dividends; Hypotheses; Institutional investments; Internet stocks; Literature reviews; Macroeconomics; Media coverage; Rates of return; Securities markets; Stock prices; Tax reform; Volatility
• ISSN: 0015-1920; 2464-7683
• DOI: 10.32065/CJEF.2023.04.01

There are several advantages to using Google's search data to measure investor attention. [...]past research (e.g., Da et al., 2015; Drake et al., 2016; Ben-Rephael et al., 2017) has shown that search volume by Google is a direct measure of attention. A comprehensive list of studies in the past decade is presented by Jun et al. [...]there is a unique opportunity to study real-time search data to capture the attention of individuals and retail investors. [...]we extend the current literature on investor attention (e.g., Bijl et al., 2016; Geng et al., 2022, Cheraghali et al., 2023) by focusing on attention paid to macroeconomic shocks. [...]investor attention also includes the effect of anticipation before the tax reform was signed into law (see Figure 1, where all three acts have an increase in attention before the month the bill was passed.). [...]Ryan and Taffler (2004) have presented evidence that firm-specific information releases are a highly significant determinant of both individual stock price changes and trade volume activity. [...]several studies have focused on macroeconomic news announcements (e.g., Ederington and Lee, 1993; Berry and Howe, 1994, Fisher et al., 2022, Corbet et al., 2020 or Lyocsa et al. 2020).