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Trading on Limited Investor Attention
出版WHU - Otto Beisheim School of Management, 2015
URLhttp://books.google.com.hk/books?id=mvbJzQEACAAJ&hl=&source=gbs_api
註釋In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 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.