How security prices respond to a surge in investor attention: Evidence from Google Search of ADRs

This study examines the day-to-day impact of a surge in investor attention on security prices within a four-week investment horizon. Focusing on a sample of ADRs traded in the U.S. stock markets between 2004 and 2015, we measure the surge in investor attention by constructing a dummy variable based on the Search Volume Index (SVI) obtained from Google Trends. We find strong evidence that a surge in investor attention is associated with a same-day positive abnormal return. But the positive association between investor attention and stock return disappears or even reverses quickly after day zero. ADRs originated from developing countries and developed countries appear to be equally responsive to a surge in investor attention.