Does Investor Attention Intensify Earnings Momentum?

We examine the performance and interaction of earnings momentum and investor attention in a global sample of 368 property-holding companies from January 2005 to September 2019 included in the FTSE EPRA/NAREIT Global Real Estate Index. Portfolio returns are evaluated on a risk-adjusted basis using the Carhart four-factor model. First, we show that REITs with positive earnings surprises (high SUE) and REITs experiencing unexpectedly high Google search attention (high SGSV) exhibit month-1 outperformance that subsequently mean-reverts. Second, we find that heightened Google search attention amplifies the short-run earnings momentum effect. Third, our Granger causality analysis indicates that earnings momentum predicts attention-based momentum, showing that investor attention follows rather than precedes earnings news.