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Francisca Beer, Fabrice Hervé and Mohamed Zouaoui
''Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market''
( 2013, Vol. 33 No.1 )
This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.
Keywords: Google Trends, Investor sentiment, VAR model, Stock returns
Manuscript Received : Jan 19 2013 Manuscript Accepted : Feb 21 2013

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