Measuring Investor Attention Using Google Search

Thanks to an anonymous associate editor and reviewer, David Burgstahler, Judson Caskey, Mike Drake, Peter Easton, Henry Friedman, Zachary Kaplan, Beatrice Michaeli, Miguel Minutti-Meza, Robbie Moon, Sönke Sievers, Dan Taylor, Jake Thornock, and David Veenman as well as workshop participants at Northwestern, Tilburg Winter Camp, Paderborn University, and the University of California, Los Angeles. A former working version of this paper was titled “Measurement Error in Dependent Variables in Accounting: Illustrations Using Google Ticker Search and Simulations.”