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Stock Returns and Investor Hype

Mulder, Oscar Leonard LU (2025) NEKH01 20242
Department of Economics
Abstract
Investors are constantly seeking information that can provide a competitive advantage in the market. Using online platforms along with traditional media sources supply a constant source of information available to investors. Among the available information, Google Trends scores provide insights into investor attention and sentiment. To understand whether there is a relationship between Google Trends and investor behaviour, reflective of the returns, a quantitative event study was conducted. The event study (following MacKinlay’s guide from 1997) focuses on moments of increased investor attention for a stock and/or security. The findings of this thesis indicate a significant relationship between abnormal returns and events of increased... (More)
Investors are constantly seeking information that can provide a competitive advantage in the market. Using online platforms along with traditional media sources supply a constant source of information available to investors. Among the available information, Google Trends scores provide insights into investor attention and sentiment. To understand whether there is a relationship between Google Trends and investor behaviour, reflective of the returns, a quantitative event study was conducted. The event study (following MacKinlay’s guide from 1997) focuses on moments of increased investor attention for a stock and/or security. The findings of this thesis indicate a significant relationship between abnormal returns and events of increased hype. These findings led to a second research question regarding the nature of said relationship. Further analysis of trade volume deviation during events shows that hype can work as a proxy for increased trade volume, resulting in negative abnormal returns. This thesis concludes that Google Trend scores can work as a viable variable in predicting stock returns during extremities. (Less)
Please use this url to cite or link to this publication:
author
Mulder, Oscar Leonard LU
supervisor
organization
course
NEKH01 20242
year
type
M2 - Bachelor Degree
subject
keywords
Google Trends, Event Study, Abnormal Returns
language
English
id
9184255
date added to LUP
2025-05-08 09:15:59
date last changed
2025-05-08 09:15:59
@misc{9184255,
  abstract     = {{Investors are constantly seeking information that can provide a competitive advantage in the market. Using online platforms along with traditional media sources supply a constant source of information available to investors. Among the available information, Google Trends scores provide insights into investor attention and sentiment. To understand whether there is a relationship between Google Trends and investor behaviour, reflective of the returns, a quantitative event study was conducted. The event study (following MacKinlay’s guide from 1997) focuses on moments of increased investor attention for a stock and/or security. The findings of this thesis indicate a significant relationship between abnormal returns and events of increased hype. These findings led to a second research question regarding the nature of said relationship. Further analysis of trade volume deviation during events shows that hype can work as a proxy for increased trade volume, resulting in negative abnormal returns. This thesis concludes that Google Trend scores can work as a viable variable in predicting stock returns during extremities.}},
  author       = {{Mulder, Oscar Leonard}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Stock Returns and Investor Hype}},
  year         = {{2025}},
}