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| F. Henrique Castro and Marcelo Guzella |
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| ''Individual investor attention and the predictability of stock market volatility and returns'' |
| ( 2021, Vol. 41 No.3 ) |
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| 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. |
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| Keywords: Investor attention, Google Trends, volatility |
JEL: G1 - General Financial Markets
G2 - Financial Institutions and Services: General |
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| Manuscript Received : Jul 18 2021 | | Manuscript Accepted : Sep 17 2021 |
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