Document Type : Research Paper

Authors

• mohammadreza monjazeb ¹
• habib soheyli ahmadi ²
• mohammad mahdilou ³

¹ faculty member

² faculty member of kharazmi uni.

³ MA

Abstract

This research investigates the impact of investor attention on stock excess returns in the Tehran Stock Exchange, using weekly data from 52 companies over a five-year period. The Google Search Volume Index (GSVI) was employed as a proxy for investor attention, and its effect across different return levels was analyzed using quantile regression. The results reveal that investor attention has an asymmetric effect on stock excess returns. Specifically, for stocks whose excess returns fall within the middle quantiles of the excess return distribution, investor attention leads to short-term return persistence. Conversely, for stocks in the lower quantiles of the excess return distribution, increased investor attention results in selling pressure and a subsequent decrease in their excess returns in the following weeks. Furthermore, for stocks of companies whose excess returns are in the upper quantiles of the distribution, an increase in detrended trading volume has a significant positive impact on their excess returns. This study demonstrates that behavioral indicators, such as the Google Search Volume Index, can serve as complementary tools alongside traditional market analyses, providing a better understanding of investor behavior under different return conditions.

Keywords

• Investor Attention
• Google Trends Index
• Quantile Regression Approach
• Excess Return

Main Subjects

• Financial Economics