Google searches and stock returns
Introduction
Value of football players and google searches
Possible applications of google searches
Google searches in finance
Summary: google searches and stock returns
What can explain stock returns?
What should we study?
Google searches and stock market
Literature
Data
Raw and standardized Google searches
Method
Results: past returns
Bid-ask spread
Volatility
Volume
Google searches
Robustness
Trading strategy
Cumulative excess return over buy-and-hold
Comparison vs. buy-and-hold
CAR over benchmark trading strategy
Comparison vs. benchmark strategy
Conclusions
IPO (initial public offering)
Consensus about IPO
Literature
Our IPO results
Google searches and FX (currency) volatility
Google searches…
General conclusion

Comparison vs. buy-and-hold
Before transaction costs, both daily, weekly and monthly rebalancing is profitable, after transaction costs only monthly rebalancing is profitable
Strategy that includes google searches outperforms both buy-and hold by 1.5% annually after transaction costs and 2.3% before t.c.
Sharpe ratio also improved
daily and weekly rebalancing does not work better even with no transaction costs
Therefore, superiority of monthly rebalancing is not solely due to transaction costs