It has been widely studied that investors suffer from the tendency to realize gains too quickly, while carrying losses too long --- also known as the disposition effect. Previous research on the phenomenon finds that there is a substantial heterogeneity with regards to the magnitude of...

In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy...

This study provides novel insights to the ongoing debate how market efficiency is challenged by investor behavior. Applying search engine data we find that retail investor attention can enhance market efficiency. High attention is associated with better incorporation of idiosyncratic stock...