Do We Price Happiness? Evidence from Korean Stock Market

Autor:	Kim, HyeonJun
Rok vydání:	2023
Předmět:	Economics - General Economics Quantitative Finance - Portfolio Management
Druh dokumentu:	Working Paper
Popis:	This study explores the potential of internet search volume data, specifically Google Trends, as an indicator for cross-sectional stock returns. Unlike previous studies, our research specifically investigates the search volume of the topic 'happiness' and its impact on stock returns in the aspect of risk pricing rather than as sentiment measurement. Empirical results indicate that this 'happiness' search exposure (HSE) can explain future returns, particularly for big and value firms. This suggests that HSE might be a reflection of a firm's ability to produce goods or services that meet societal utility needs. Our findings have significant implications for institutional investors seeking to leverage HSE-based strategies for outperformance. Additionally, our research suggests that, when selected judiciously, some search topics on Google Trends can be related to risks that impact stock prices. Comment: 8 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2308.10039 Zobrazit plný text záznamu View this record from Arxiv