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Google search volumes for portfolio management: performances and asset concentration.

Authors :
Maggi, Mario
Uberti, Pierpaolo
Source :
Annals of Operations Research. Apr2021, Vol. 299 Issue 1/2, p163-175. 13p.
Publication Year :
2021

Abstract

Google search volumes have proven to be useful in portfolio management. The basic idea is that high search volumes are related to bad news and risk increase. This paper shows additional evidence about the use of Google search volumes in risk management, for the Dow Jones Industrial Average index components from 2004 to 2017. To overcome the (time-series and cross-section) limitations Google imposes on data download, a renormalization procedure is presented, to obtain a multivariate sample of volumes, which preserve their relative magnitude. The results indicate that the volume normalization is relevant for portfolio performances. Renormalized Google search volumes yield poor results when they penalize the portfolio diversification. Instead, if the portfolio diversification can be kept to an acceptable level, the renormalized Google search volumes contribute to improving risk-adjusted performances. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
02545330
Volume :
299
Issue :
1/2
Database :
Academic Search Index
Journal :
Annals of Operations Research
Publication Type :
Academic Journal
Accession number :
149616984
Full Text :
https://doi.org/10.1007/s10479-019-03424-7