Journal of Korea Society of Industrial Information Systems (한국산업정보학회논문지)

Korea Society of Industrial Information Systems (한국산업정보학회)
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Search Frequency in Internet Portal Site and the Expected Stock Returns

포털사이트에서의 피검색빈도와 주식수익률

  • 반주일 (상명대학교 경영대학 글로벌경영학과) ;
  • 김명애 (건국대학교 국제비즈니스대학 경영경제학부) ;
  • 전용호 (인천대학교 경영대학 경영학부)
  • Received : 2016.07.05
  • Accepted : 2016.08.31
  • Published : 2016.10.31
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Abstract

NAVER provides search frequency data of search terms via its DataLab service (http://datalab.naver.com/). Using this data, this paper examines the relation between the search frequency of firm's name and its future stock returns. Our results show that the search frequency of firm's name is a new investor attention measure, which is different from previously explored attention measures such as extreme returns, turnover, etc. Firms that go through higher search frequency this week tend to have higher returns in the next week. We do not find return reversal in the long run for the firms with higher search frequency. Furthermore, the extent to which search frequency affects stock returns becomes more pronounced following market-wide attention grabbing events. Our results indicate that search frequency incorporates information for future stock returns.

국내 1위 인터넷포털 사업자인 네이버는 사용자가 지정하는 키워드가 특정 기간 동안에 네이버에서 얼마나 자주 검색되었는지에 관한 피검색빈도자료를 제공한다. 본 연구는 네이버의 피검색빈도자료를 활용하여 기업명의 피검색빈도와 그 기업의 미래 주식수익률과의 관계에 대해 분석하였다. 그 결과는 다음과 같다. 첫째, 기업명의 피검색빈도는 극단적 수익률 및 거래회전율과 같은 기존의 투자자 관심(investor attention)변수와 중복되지 않는 새로운 투자자 관심변수이다. 둘째, 금주의 피검색빈도가 높은 기업일수록 그 다음 주의 주간수익률이 높다. 셋째, 피검색빈도가 높은 기업은 이후에도 수익률 반전현상이 관찰되지 않으므로, 피검색빈도는 해당 기업에 대한 본질적 정보를 포함하는 것으로 볼 수 있다. 넷째, 피검색빈도가 주식수익률에 미치는 영향은 시장 수준의 투자자 관심사건(market-wide attention grabbing events)이 발생한 이후 더욱 강하게 나타난다.

Keywords

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