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Forecasting Volume And Price Impact Of Earnings Surprises Using Google Insights

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  • Jedediah Baker

Abstract

This paper examines the predictability of price and volume movements using Google Insights on equities exhibiting earnings surprise and the association with pre-announcement information searching. The motivation for this paper is to answer two primary research questions. First of all, using more recent stocks earnings surprise, is Google search data a good indicator of investor interest prior to the earnings announcement? Second does the Google data add to the predictability of post earnings volume and pricing direction? Data on earnings surprise were taken from Yahoo Finance and Google search volume data were taken from the Google trends website. While the results found in the analyses above are not highly convincing regarding Google trends data and price movement from earnings surprise, the results on the volume models yielded promising (i.e. significant) results. Moreover, Mean Absolute Error was reduced by approximately 8% when incorporating the Google trends data on volume predictions

Suggested Citation

  • Jedediah Baker, 2016. "Forecasting Volume And Price Impact Of Earnings Surprises Using Google Insights," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(4), pages 53-62.
    • Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:53-62
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    More about this item

    Keywords

    Predictability; Volume Movements; Earnings Surprise; Google;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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