Google Insights for Search, Investor Sentiment and Stock Market Returns
Author | : Felix Dietrich |
Publisher | : |
Total Pages | : |
Release | : 2011 |
ISBN-10 | : OCLC:779515244 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Google Insights for Search, Investor Sentiment and Stock Market Returns written by Felix Dietrich and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The (time-series) frequencies of Google search terms that are possibly related to investor sentiment were transformed into a summary measure, using principal component analysis. This variable was then used in a vector autoregression framework in order to evaluate its in-sample forecasting power and to test for Granger causality between sentiment and stock market returns. In pseudo out-of-sample forecasting experiments, the summary measure's "real-time" performance was compared to an autoregressive model and to a random walk. While I found that investor sentiment Granger causes stock market returns and explains the time-series of stock market returns better than past returns alone, sentiment-based forecast models were not able to consistently beat the two benchmark models out-of-sample.