The Influence of Investor Attention on Stock Price Variations

This study investigates the influence of investor attention on price variations in the Brazilian stock market. The research combines a Systematic Literature Review (SLR) and an empirical study based on econometric regressions. The review revealed that investor attention is a relevant factor in asset pricing, being commonly measured by the volume of searches on Google Trends and the volume of publications on Bloomberg. In the empirical study, data on Ibovespa stocks between 2018 and 2023 were analyzed using the Fama-French three-factor model and a Panel Vector Autoregressive (PVAR) model. In addition, a robustness test was performed incorporating a sentiment analysis based on news extracted from Google News. The results indicate that investor attention, captured by the volume of publications on Bloomberg, is statistically significant in the Fama-French model, while in the regression model it did not present statistical significance. However, the volume of Google searches did not show a consistent effect, except during the pandemic period, when it influenced stock prices. These findings reinforce the importance of media attention as a factor in impacting investor behavior and contribute to understanding the dynamics of the capital market.