IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-89824-7_82.html

Google Searches for Portfolio Management: A Risk and Return Analysis

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Mario Maggi

    (University of Pavia, Department of Economics and Management)

  • Pierpaolo Uberti

    (University of Genoa, Department of Economics (DIEC))

Abstract

Google search data has 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 Standard & Poor Industrial index components, from 2004 to 2017. To overcome the (time-series and cross-section) limitations Google imposes on the data download, a re-normalization procedure is presented, to obtain a multivariate sample of volumes which preserve their relative magnitude. The results indicate that the volumes’ normalization and the starting portfolio are decisive for the portfolio performances. Correctly normalized Google search volumes yield poor results. This may lead to revise the interpretation of the search volume: it can be considered a risk indicator, but when used in a equally risk contribution portfolio, no evidence of the improvement of the risk-return performances is found.

Suggested Citation

  • Mario Maggi & Pierpaolo Uberti, 2018. "Google Searches for Portfolio Management: A Risk and Return Analysis," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 461-465, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_82
    DOI: 10.1007/978-3-319-89824-7_82
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-89824-7_82. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.