Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high for stocks with higher search intensity and low for stocks with lower search intensity. Further, the study observes that, when the SAI is high, the excess returns are high for stocks with a high value, high volatility, and high sensitivity. Interestingly, the study documents that in the Indian market investor attention is irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess return of stocks as well as the market, size, value, and momentum factors.

本研究采用 2012 年至 2017 年期间的资产定价模型，检验搜索关注指数 (SAI) 是否解释了股票每周超额收益的变化。研究发现，基于搜索强度的投资组合估计异常收益对于搜索强度较高的股票显着较高，而对于搜索强度较低的股票则较低。此外，研究发现，当 SAI 较高时，高价值、高波动性和高敏感性股票的超额收益较高。有趣的是，该研究表明，在印度市场，投资者的注意力与风险极高的股票无关。本研究发现，印度的 SAI 解释了股票超额收益以及市场、规模、价值和动量因素的变化。