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Google search volumes for portfolio management: performances and asset concentration

Author

Listed:
  • Mario Maggi

    (University of Pavia)

  • Pierpaolo Uberti

    (University of Genoa)

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.

Suggested Citation

  • Mario Maggi & Pierpaolo Uberti, 2021. "Google search volumes for portfolio management: performances and asset concentration," Annals of Operations Research, Springer, vol. 299(1), pages 163-175, April.
    • Handle: RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03424-7
    DOI: 10.1007/s10479-019-03424-7
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    Cited by:

    1. Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
    2. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    3. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).

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    More about this item

    Keywords

    Web searches; Google Trends; Portfolio management;
    All these keywords.

    JEL classification:

    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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