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Limited attention and investor disagreement: a nowcasting approach

Submitted by Gustavo Pereira (gustavo.cicco@fgvmail.br) on 2015-06-22T20:12:33Z
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Previous issue date: 2015-04-27 / When disagreement in economic models occurs due to different interpretations of public signals, the level of ``marketwide disagreement'' not necessarily decreases upon the arrival of a public signal. We propose an empirical assessment of this phenomenon. By using a measure of attention based on Google Trends, we show that an increase in the attention allocated by the market to a company is associated to a significant increase in disagreement about it. / Quando a discordância em modelos econômicas ocorre devido a interpreta- ções diferentes de sinais públicos, o nível de 'discordância de mercado' não necessariamente diminui com a chegada de um sinal público. Nós propomos uma avaliação empírica desse fenômeno. Usando uma medidade de atenção baseada no Google Trends, mostramos que um aumento na atenção alocada pelo mercado a uma company está associada a um aumento significativo da discordância sobre ela.

Identiferoai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/13843
Date27 April 2015
CreatorsPereira, Gustavo Antonio De Cicco
ContributorsBonomo, Marco Antônio Cesar, Gonçalves, Edson Daniel Lopes, Escolas::EPGE, FGV, Almeida, Caio Ibsen Rodrigues de
Source SetsIBICT Brazilian ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Sourcereponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rightsinfo:eu-repo/semantics/openAccess

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