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.

Maggi, M., Uberti, P. (2021). Google search volumes for portfolio management: performances and asset concentration. ANNALS OF OPERATIONS RESEARCH, 299(1-2), 163-175 [10.1007/s10479-019-03424-7].

Google search volumes for portfolio management: performances and asset concentration

Pierpaolo Uberti
2021

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.
Articolo in rivista - Articolo scientifico
Web searches, Google Trends, Portfolio management
English
16-ott-2019
2021
299
1-2
163
175
open
Maggi, M., Uberti, P. (2021). Google search volumes for portfolio management: performances and asset concentration. ANNALS OF OPERATIONS RESEARCH, 299(1-2), 163-175 [10.1007/s10479-019-03424-7].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/394649
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