文章基本信息

标题：Does a search attention index explain portfolio returns in India?
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作者：Munusamy Dharani ; M. Kabir Hassan ; Mohammad Zoynul Abedin 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2022
卷号：22
期号：2
页码：226-239
语种：English
出版社：Elsevier B.V.
摘要：Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high for stocks with higher search intensity and low for stocks with lower search intensity. Further, the study observes that, when the SAI is high, the excess returns are high for stocks with a high value, high volatility, and high sensitivity. Interestingly, the study documents that in the Indian market investor attention is irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess return of stocks as well as the market, size, value, and momentum factors.