Investors attentions and stock returns | Stata

Investors’ attention is a topic of behavioral finance. Merton (1987) presented the investors’ recognition hypothesis, which later was tested in a variety of empirical designs. For example, Fang and Peress (2009) found a no-media premium. Similarly, Chen (2017) documents a significant decrease in index returns following an increase in investor attention.

The Google Search Volume (SVI) data provides an excellent measure of investor attention. Search is a revealed attention measure for retail investors: if a retail investor searches for a stock ticker in Google, he is undoubtedly paying attention to the particular stock. From such data, a variety of investors’ attention measures can be constructed. For example, absolute attention, relative attention, local attention, national attention, abnormal relative attention, and so on.
Once the attention variables are constructed, then these variables can be used to classify firms into quantile or decile groups, called portfolios. Top quantile and bottom quantile portfolios can be used to make attention based risk factors in the spirit of small minus big (SMB) of Fama and French (1993; 1995) factor. This constructed factor can then be used as a separate risk factor or in other settings with different research hypotheses.

Our Stata Code

We have developed an efficient code for making investors’ attention variables with a large number of variations such as:
▬ relative attention
▬ abnormal relative attention
▬ attention based on headquarters
▬ abnormal local and national attention
▬ Simple returns of the attention portfolios
▬ cumulative returns of the attention portfolios
▬ Momentum returns calculation for the attention portfolios
▬ Weighted and un-weighted returns of the attention portfolios
▬ single and double sorts of attention portfolios with size and liquidity factors


We offer four distinct packages for the “Stata code for Investors Attentions and Stock Returns”.

  • The Baseline Package, priced at 249 GBP, includes code for four variations, we have a total of 9 variations, see the above list.

  • The second package, the Baseline Plus Data Management Package, includes everything from the Baseline Package, with the added benefit of data management where we prepare your data to work seamlessly with the code.

  • The third package, the Complete Variations Package, priced at 399 GBP, includes all nine variations of the code.

  • Lastly, the Complete Variations Plus Data Management Package includes everything from the Complete Variations Package, along with our data management services. Choose the package that best suits your needs and make the most of our offerings.

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Contact Us:

After making the payment, please contact us at the following email. We shall send the code within 24 hours. If you have any query, feel free to contact.


  1. Chen, Tao. (2017) “Investor Attention and Global Stock Returns.” Journal of Behavioral Finance Vol. 18 , Iss. 3, pp. 358-372
  2. Merton (1967). “A Simple Model of Capital Market Equilibrium with Incomplete Information.” Journal of Finance, 42, , pp. 483–510.
  3. Fang and Peress (2009). “Media Coverage and the Cross-section of Stock Returns.” Journal of Finance 64, pp. 2023–2052.