Abstract
This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply-chain relationship and if information related to both firms diffuses in the market slowly (rapidly), then our ability to predict stock returns increases (vanishes). Using supply-chain data and weekly co-search network of supply-chain partners from Bloomberg and Yahoo! Finance, respectively, we find that when investors of a focal stock pay less attention to its supply-chain partners, we can use lagged partner returns to predict the future return of the focal stock. When investors' co-attention to focal and partner stocks is high, the predictability is low. We contribute to the growing literature on aggregate search and economics of networks by demonstrating the inferential power and economic implications of search networks.
| Original language | English (US) |
|---|---|
| Title of host publication | 2015 Americas Conference on Information Systems, AMCIS 2015 |
| Publisher | Americas Conference on Information Systems |
| ISBN (Print) | 9780996683104 |
| State | Published - 2015 |
| Event | 21st Americas Conference on Information Systems, AMCIS 2015 - Fajardo, Puerto Rico Duration: Aug 13 2015 → Aug 15 2015 |
Other
| Other | 21st Americas Conference on Information Systems, AMCIS 2015 |
|---|---|
| Country | Puerto Rico |
| City | Fajardo |
| Period | 8/13/15 → 8/15/15 |
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Keywords
- Attention
- Prediction
- Search
- Stock
- Supply-chain
ASJC Scopus subject areas
- Computer Science Applications
- Information Systems
Cite this
A study of search attention and stock returns cross predictability. / Leung, Alvin Chung Man; Konana, Prabhudev; Agarwal, Ashish; Kumar, Alok.
2015 Americas Conference on Information Systems, AMCIS 2015. Americas Conference on Information Systems, 2015.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - A study of search attention and stock returns cross predictability
AU - Leung, Alvin Chung Man
AU - Konana, Prabhudev
AU - Agarwal, Ashish
AU - Kumar, Alok
PY - 2015
Y1 - 2015
N2 - This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply-chain relationship and if information related to both firms diffuses in the market slowly (rapidly), then our ability to predict stock returns increases (vanishes). Using supply-chain data and weekly co-search network of supply-chain partners from Bloomberg and Yahoo! Finance, respectively, we find that when investors of a focal stock pay less attention to its supply-chain partners, we can use lagged partner returns to predict the future return of the focal stock. When investors' co-attention to focal and partner stocks is high, the predictability is low. We contribute to the growing literature on aggregate search and economics of networks by demonstrating the inferential power and economic implications of search networks.
AB - This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply-chain relationship and if information related to both firms diffuses in the market slowly (rapidly), then our ability to predict stock returns increases (vanishes). Using supply-chain data and weekly co-search network of supply-chain partners from Bloomberg and Yahoo! Finance, respectively, we find that when investors of a focal stock pay less attention to its supply-chain partners, we can use lagged partner returns to predict the future return of the focal stock. When investors' co-attention to focal and partner stocks is high, the predictability is low. We contribute to the growing literature on aggregate search and economics of networks by demonstrating the inferential power and economic implications of search networks.
KW - Attention
KW - Prediction
KW - Search
KW - Stock
KW - Supply-chain
UR - http://www.scopus.com/inward/record.url?scp=84963543032&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84963543032&partnerID=8YFLogxK
M3 - Conference contribution
SN - 9780996683104
BT - 2015 Americas Conference on Information Systems, AMCIS 2015
PB - Americas Conference on Information Systems
ER -