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F. Henrique Castro and Marcelo Guzella
''Individual investor attention and the predictability of stock market volatility and returns''
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
Manuscript Received : Sep 15 2020 Manuscript Accepted : Sep 15 2020

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