• Journal of Korea Society of Industrial Information Systems
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• v.21 no.5
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• pp.73-83
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• 2016

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.