We use search volume for firms' products to predict revenue surprises, earnings surprises and earnings announcement returns. We find that increases (decreases) in the search volume index (SVI) of a firm's most popular product strongly predicts positive (negative) revenue surprises. This...

Turnover, extreme returns, news and advertising expense are indirect proxies of investor attention. In contrast, we propose a direct measure of investor demand for attention -- active attention -- using search frequency in Google (SVI). In a sample of Russell 3000 stocks from 2004 to 2008, we...

We use the daily internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g. "recession", "unemployment" and "bankruptcy"), we construct a Financial and Economic Attitudes Revealed by Search (FEARS)...