Recent studies have shown that the Sharpe ratio and alpha for the momentum strategy can be increased, by scaling the momentum strategy, by the inverse of its historical volatility. However, we find that the higher Sharpe ratio and the alphas of the volatility scaled momentum strategy, in...

We use search queries with the word “CORONAVIRUS” in Google Trends as a proxy for investors' attention and track its impact on the stock markets and sovereign risk. By using daily data of 41 countries for the period of January-June 2020, it is found that increased coronavirus related search...

In this paper, we examine the impact of investors' attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020, and measuring investors' attention with the Google...

In this paper, we examine the impact of investors’ attention to the COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period January 23 to June 12, 2020, and measuring investors’ attention with the...