Investor attention, index performance, and return predictability

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Public Attention to Environmental Issues and Stock Market Returns (2021, background): “Launched in 2004, this website provides the search volume index for any keyword in any region for each week within any interval over time (e.g., Da et al., 2011; Vozlyublennaia, 2014; Afkhami et al., 2017).”
Investor attention and global market returns during the COVID-19 crisis (2020, background): “This generates temporary price pressure but in diminishing return predictability also improves market efficiency (Vozlyublennaia, 2014).”
Retail Investor Attention and Stock Liquidity (2015, background): “Vozlyublennaia (2014) use Google search to proxy for investor attention (investors’ information demand) and reports that attention has a short-lived influence on performance of index of stocks, bonds and commodities.”
The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, background): “Further research results show that there is a twoway Granger causality and two-way volatility spillovers between stock market returns and investor sentiment [9,8].”