SEMINARIO. Can Google search data contribute to portfolio management?

Il Dipartimento di Economia e Diritto organizza mercoledì 16 maggio 2018 ore 11-13, presso l'aula E di Piazza Strambi 1 / Macerata un seminario dal titolo "Can Google search data contribute to portfolio management?"

Il seminario conferisce 0,3 CFU agli studenti del Dipartimento di Economia e Diritto.

PROGRAMMA E 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 Dow Jones Industrial Average 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 is relevant for the portfolio performances. Correctly normalized Google search volumes yield poor results in case of concentrated portfolios. Instead, for more diversified portfolios, the normalization seems to have a less important role.

INTRODUCE

PROF. ROY CERQUETI (Università di Macerata)

INTERVIENE

PROF. MARIO MAGGI (Università di Pavia)