Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio … return of stocks as well as the market, size, value, and momentum factors. …

in terms of the sentiment index and the purchasing managers' index. For this research, we focused on the countries of the … - November 2017. The results showed immediate reactions with a higher intensity in March 2015 for the SentiMent index and for …