| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 105 === Recently, research has found that internet volume was more representative than traditional investor attention measures, such as extreme returns, trading volume, news and headlines (Da, Engelberg and Gao (2011)). For our purposes, we investigate the effects of investor attention, proceed by Google search volume index (SVI), on a firm’s sensitivity to the external shock. In this paper, we collect internet volume data from Google Trends website, firm data from Compustat and CRSP databases. We find a positive association between investor attention and a firm’s sensitivity to the financial crisis. Specifically, the results show that, before the 2007-2008 crisis occurs, firms that possess higher investor attentions adopt more risk-taking behaviors, resulting in a higher sensitivity to a shock. After the crisis occurs, these firms experience worse performance including stock return performance and operating performance and a higher increase in expected default probability.
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