Google attention and target price run ups

Siganos, A. (2013) Google attention and target price run ups. International Review of Financial Analysis, 29, pp. 219-226. (doi: 10.1016/j.irfa.2012.11.002)

Abstract

We explore the increase in the share prices of target firms before their merger announcements. We use a novelty Google search volume to proxy the market expectation hypothesis according to which firms with an abnormal upward change in Google searches are identified as firms with potential merger activity. We find that Google indicators can explain a larger percentage of the price increase in target firms before their mergers than the Financial Times. However even the Google proxy of the market expectation hypothesis can only explain at best 36% of the target price run ups.

• Item Type: Articles
• Additional Information: NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication.
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Siganos, Professor Antonios
• Authors: Siganos, A.
• College/School: College of Social Sciences > Adam Smith Business School > Accounting and Finance
• Journal Name: International Review of Financial Analysis
• Publisher: Elsevier
• ISSN: 1057-5219
• ISSN (Online): 1873-8079
• Published Online: 05 December 2012
• Copyright Holders: Copyright © 2012 Elsevier
• First Published: First published in International Review of Financial Analysis
• Publisher Policy: Reproduced in accordance with the copyright policy of the publisher