No. of Recommendations: 3
reading back issues of his thoughts; another citing
https://papers.ssrn.com/sol3/papers.cfm?abstract_i... "Stocks with high investor attention show extreme price momentum effects, while forgotten stocks that are ignored by investors show extreme earnings momentum effects."
suggesting those whom use price momentum should stick to stocks with high attention. Google search volume and Wikipedia requests among the signs: Google Search Volume (GSVI) Attention → Abnormal Returns
From:
Da, Engelberg & Gao (2011):
In Search of Attention.
There are two effects, depending on search type:
A. Short-term underreaction → short-term positive return continuation
If searches reflect genuine investor attention (not panic), then:
Returns show continuation over 12 weeks
(classic short-term momentum)
✔️ Timeframe: 110 trading days, sometimes up to 2 weeks.
B. If GSV spike reflects investor fear (e.g., crisis terms):
Then:
Returns show reversal over 25 days.
So GSV can predict either continuation or reversal depending on context.
