Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245185 
Year of Publication: 
2018
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 6 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2018 [Pages:] 1-50
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes in expected premium on Fama-French's five-factors and q-factors. Pessimistic sentiment indices (Market Crash and Bear Market) predict more significant variation in the premium of prominent pricing factors than optimistic sentiment indices (Market Rally and Bull Market), and also have a significant correlation with VIX representing downside risk. Furthermore, the sentiment indices are better in predicting premium on five-factors than q-factors.
Subjects: 
VIX
Google search index
expected return
asset pricing
pricing factors
JEL: 
G12
C19
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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