In Search of Fundamentals
36 Pages Posted: 22 Apr 2010 Last revised: 16 Mar 2011
Date Written: March 15, 2011
Abstract
We use search volume for firms' products to predict revenue surprises, earnings surprises and earnings announcement returns. We find that increases (decreases) in the search volume index (SVI) of a firm's most popular product strongly predicts positive (negative) revenue surprises. This predictive power is weaker for standardized unexpected earnings (SUE). SVI has strong predictability for returns around earnings announcements, especially among firms with few products, growth firms and firms that manage their reported earnings. Taken together, the evidence suggests that search volume for a firm's products is a value-relevent leading indicator about a firm's future cashflow that the market does not fully incorporate into prices until the earnings announcement.
Keywords: Search Volume, Earnings Surprises, Revenue Surprises
JEL Classification: G10, G14
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
-
More than Words: Quantifying Language to Measure Firms' Fundamentals
By Paul C. Tetlock, Maytal Saar-tsechansky, ...
-
Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards
By Murray Z. Frank and Werner Antweiler
-
Media Coverage and the Cross-Section of Stock Returns
By Lily H. Fang and Joel Peress
-
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks
By Tim Loughran and Bill Mcdonald
-
Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports?
By Feng Li
-
Yahoo! For Amazon: Sentiment Parsing from Small Talk on the Web
By Sanjiv Ranjan Das and Mike Y. Chen
-
By Zhi Da, Joseph Engelberg, ...
-
By Joshua D. Coval and Tyler Shumway
-
The Impact of Credibility on the Pricing of Managerial Textual Content
By Elizabeth Demers and Clara Vega