Google Searches around Analyst Recommendation Revisions: Evidence from the Taiwan Stock Market

Abstract

We set out in this study is to investigate the impact of Google search volume on stock prices around periods of recommendation revision announcements made by securities firms in the Taiwan stock market. Our results reveal that for upgrade announcements, the Internet searches that are initiated by investor attention lead to only a temporary increase in positive price pressure around the revision announcement periods, whereas the price effect of the informed component extracted from the Google searches is found to be persistent. We also find that trading volume reflects more of the upcoming news around the revision announcement periods. Our results suggest that at least some retail investors will employ a search engine to obtain valid firm-specific information relating to the recommendation revisions.

Keywords: Emerging markets; Investor attention; Internet search; Information demand; Recommendation revisions.

JEL Classification: G00, G14, G15, G40