Does a search attention index explain portfolio returns in India?
نویسندگان
چکیده
Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains variation in weekly excess return of stocks. The finds that estimated abnormal portfolio based on intensity is significantly high for stocks with higher and low lower intensity. Further, observes that, when SAI high, returns are value, volatility, sensitivity. Interestingly, documents Indian market investor irrelevant extremely risk. This India as well market, size, momentum factors.
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ژورنال
عنوان ژورنال: Borsa Istanbul Review
سال: 2022
ISSN: ['2214-8450', '2214-8469']
DOI: https://doi.org/10.1016/j.bir.2021.04.003