Detail práce

Google searches and financial markets: IPOs and uncertainty

Autor: Mgr. Tomáš Vakrman
Rok: 2014 - letní
Vedoucí: prof. PhDr. Ladislav Krištoufek Ph.D.
Konzultant:
Typ práce: Diplomová
Ekonomická teorie
Jazyk: Anglicky
Stránky: 173
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/134065/
Abstrakt: This thesis studies how the investor attention proxied by Google search volume affects different aspects
of market behavior. My results show that a surge in online attention is associated with an increase in
trading activity and stock price volatility, but no effect is detected for daily returns. Yet, if market
sentiment is taken into account, the relationship comes to the surface for returns as well. The returns
tend to decrease with attention hikes in negative sentiment periods and the opposite is observed for
periods of positive sentiment, suggesting that Google web search captures predominately attention of
sentiment investors. Moreover, I demonstrate that with the outburst of financial crisis, the
interdependence between attention and trading activity was intensified. Lastly, I provide evidence that
web search may shed some light on IPO-related puzzles. The initial returns seem to be higher for IPOs
that receive above average attention, and are likely to be reversed in long-term. In addition, it is
ascertained that web search volume may act as a proxy for market overreaction to the offerings

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance