Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search

We examine the ability of online ticker searches (e.g. XOM for Exxon Mobil) to forecast abnormal stock returns and trading volumes. Specifically, we argue that online ticker searches serve as a valid proxy for investor sentiment — a set of beliefs about cash flows and investment risks that are not n...

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Bibliographic Details
Published in:International journal of forecasting 2011-10, Vol.27 (4), p.1116-1127
Main Authors: Joseph, Kissan, Babajide Wintoki, M., Zhang, Zelin
Format: Article
Language:English
Subjects:
Abnormal returns
Fama-French model
Finance
Forecasting techniques
Investments
Investor behavior
Investor sentiment
Investor sentiment Finance Fama-French model Portfolio tests Marketing
Marketing
Portfolio tests
Rates of return
Searches
Securities trading volume
Sensitivity
Studies
Volatility
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