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The Impact of Investor Attention and Sentiment on US Stock Prices and the Corporate Decision to Repurchase

Brian Liston-Clark, University of Nebraska - Lincoln


When you’re looking for answers, where do you turn? The internet. Google holds an over 90% global market share of internet search inquiries. Given the rising prevalence of Google search queries, we investigate its relevance in relation to stock market prices as a proxy for investor attention (Chapter One); then, proceed to examine the impact it has on the firm’s decision to repurchase (Chapter Two). In Chapter One, we find that Google Search Volumes (GSV) have a positive relation with stock market prices; however, the results are fairly muted. We create a new proxy incorporating both investor attention and sentiment, Signed Google Volume (SGV), which is both statistically and economically significant. Changes in SGV are associated with contemporaneous changes in weekly excess returns ranging from −9.20 to 9.20 percentage points at the extremes of the measure. Forecasting results are less consistent with portfolios having negative alphas, but lead to an annual 8.48 percentage point return on a two-week held zero investment portfolio (ZIP) long on high attention and short on low attention positive sentiment stocks. In Chapter Two, we investigate the relationship between investor attention and stock repurchases. Empirical evidence is supportive of the view that high stock market liquidity results in a higher likelihood of repurchases (Brockman et al (2008)). However, to our knowledge, the impact of firm-level liquidity has yet to be determined. We find that investor attention is positively and significantly related to the liquidity of the firm’s stock. Furthermore, we identify investor attention fueled liquidity as significant in the firm’s decision to repurchase. An increase of one standard deviation of our investor attention fueled liquidity proxy will increase the odds of the firm to repurchase by 29.37%. Interestingly, after separating investor attention, we find the remainder of the liquidity measure to have a negative relation with the likelihood to repurchase.

Subject Area


Recommended Citation

Liston-Clark, Brian, "The Impact of Investor Attention and Sentiment on US Stock Prices and the Corporate Decision to Repurchase" (2022). ETD collection for University of Nebraska-Lincoln. AAI29068868.