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We investigate investor's correlated attention as a determinant of excess stock market comovement. We propose a novel proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated by the Google Search Volume Index (SVI). Our results...
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applied investment strategy does not account for transaction costs, which may jeopardize its profitability given the fact that … investors would always gain better returns when adopting a passive investment strategy. Therefore, it would be wise to assume … that the European market presents at least a degree of efficiency where no investment would yield abnormal returns …
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