Date of Submission
Economics and Finance
I explore how the demand for information over time is related to the returns and the trading volume of shares of foreign companies listed on the US market. I approximate the information demand with publicly available data about search interest for the companies as collected by Google. Similarly to other studies, I find that the relationship between return and search is statistically significant as is the one between volume and search. I also test a model explaining the returns in the United States with the returns in the home market under different search conditions and conclude that the model works better when the search at home was more volatile, while its performance worsens when the search in the US is volatile. No previous study has looked at the importance for search over time specically for foreign companies listed in the United States.
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Smilyanov, Georgi, "In Search for Pockets of Predictability in the ADR Market" (2011). Senior Projects Spring 2011. 161.