| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 105 === This study examines the relationship between online search intensity and stock-trading behavior in the U.S market. The search intensity is measured by the search volume of company names on Google. Our sample consists of 56 U.S stocks searched between 2008 and 2016. This study uses Fama-French five-factor model and Panel data that are used Hausman test to decide this study uses fix effect model, and uses some
relevant data from Compustat Research Insight
Our conclusion as follow: In short term, we find that U.S stock returns are positive with the search volume of past one month and long term increasing volume, but negative with the search volume of short term increasing volume. In long term, the period that investor’s attention affect stock return won’t be too long, and also observe the herd behavior.
For the size effect, stock returns is positive when high market capitalization
within high search volume of past one month, but negative when low market capitalization within high search volume of short term increasing volume. On the other hand, stock returns is positive with high search volume when it’s both high and low investor sentiment; and through the rate of abnormal volume, we find that investor are pessimistic in high investor sentiment, so they overreact to sell stocks, but in low investor sentiment, investor are too optimistic to keep the stock being sold.
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