Retail investors’ attention and momentum strategies

Item Type Conference or Workshop Item (Paper)

Relying on Google Trends search data for the S&P 500 stocks between 2004 and 2015, we find that investing in momentum in a portfolio of stocks with increasing search activity minus a portfolio of stocks facing a decreasing search activity does not exhibit, ceteris paribus, significant positive momentum returns. Furthermore, we show that retail investors’ attention creates volatility. For that reason, investing in stocks with stable retail investors’ attention decreases significantly momentum volatility. The momentum effect has a negative relationship with the market tone and does not significantly impact the long-term reversal effect. For those reasons, while general investors overreact to information as shown by Hillert et al. (2014), we conclude that retail investors underreact to information.

Authors Ciocca, Giorgio & Gutsche, Robert
Language English
Subjects business studies
Institute/School ior/cf - Institute for Operations Research and Computational Finance
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University of St.Gallen
Date 28 June 2017
Publisher EFMA Annual Meeting 2017
Event Title EFMA Annual Meeting 2017
Event Location Athens
Event Dates Greece
Depositing User Prof. Ph.D Robert Gutsche
Date Deposited 20 Sep 2017 21:40
Last Modified 20 Feb 2018 01:21


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Ciocca, Giorgio & Gutsche, Robert: Retail investors’ attention and momentum strategies. 2017. - EFMA Annual Meeting 2017. - Athens.

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