Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
Science and Management
© 2021 Tanya Kapoor
This study investigates the impact of retail investor attention on the returns of biotech stocks. More specifically, I examine the effects of attention on both short-run (one year) and long-run (five years) returns. I measure a company’s retail investor attention using the Google Search Volume Index for its ticker. Using an OLS regression, I regress the Fama French and Carhart factors onto monthly holding period returns for a sample of biotech companies from 2016 to 2020. In the regression model, I attribute alpha, which are excess returns not explained by the Fama French and Carhart factors, towards the effect of attention. The results revealed that alpha was not significant, and therefore I find that retail investor attention is not correlated with low or high excess returns for biotech stocks.
Kapoor, Tanya, "Retail Investor Attention and Returns of Biotech Stocks" (2022). CMC Senior Theses. 2848.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.