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F. Henrique Castro and Marcelo Guzella
''Individual investor attention and the predictability of stock market volatility and returns''
( 2021, Vol. 41 No.3 )
We study individual investor attention to the most important stock market index in Brazil and its dynamics with market volatility and returns. We find that attention is a leading indicator of future volatility and that returns are a leading indicator of future attention. The results are robust to different specifications.
Keywords: Investor attention, Google Trends, volatility
JEL: G1 - General Financial Markets
G2 - Financial Institutions and Services: General
Manuscript Received : Jul 18 2021 Manuscript Accepted : Sep 17 2021

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