Focusing on Yahoo Finance Too Much? That’s what the evidence says…

Focusing on Yahoo Finance Too Much? That’s what the evidence says…

June 24, 2013 Research Insights
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(Last Updated On: January 18, 2017)

Online Search and Return Comovement

  • Alvin Chung Man Leunga, Ashish Agarwala, Prabhudev Konanaa and Alok Kumar
  • A version of the paper can be found here.
  • Want a summary of academic papers with alpha? Check out our free Academic Alpha Database!


This study examines return comovement within attention-induced dynamic stock categories or habitats. Using online search behavior of individuals who visit the Yahoo! Finance web site, we investigate whether (i) investors focus their attention on small subsets of stocks (i.e., habitats), that change over time and (ii) changing investor attention affects the returns of stocks within attention-based dynamic habitats. We find that stocks that are frequently viewed on the Yahoo! Finance web site form clusters and the returns of stocks within these search clusters comove together. Further, as investor attention shifts, both the cluster composition and comovement patterns change. These comovement patterns do not reflect the effects of correlated cash flows or firm-specific news. Collectively, our results provide new evidence consistent with the predictions of the habitat-based model of return comovement.

Data Sources:

Yahoo finance, CRSP, Compustat

Alpha Highlight:

Search clustered stocks correlate with their cluster group more than with the market.

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Strategy Summary:

  1. Paper uses data from Yahoo! Finance website to identify stocks that cluster together.
    • When choosing a ticker on this website, you get a list of other stocks people viewed that are similar to the stock you selected.
    • This list is used to create clusters in the paper.
      • See the paper and the appendix for the exact definition of a cluster.
    • Data is during 2011 and 2012, and is for Russell 3000 stocks (98% of overall market capitalization).
  2.  Paper finds that stocks that are clustered together exhibit comovement.
    • This result cannot be explained away by news stories or other common factors such as firm size, value, industry, or supply-chain.
    • When a stock leaves a cluster, it no longer comoves with the previous cluster.  If it joins a new cluster it now comoves with the new cluster.


  • Interesting paper which documents that stocks that internet users search comove together.
    • Would normally think that retail investors are using Yahoo! Finance to search for stocks, but since these stocks comove together, maybe this is used by more sofisticated investors as well.

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Definitions of common statistics used in our analysis are available here (towards the bottom)

About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes,, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.

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  • James Kerns

    Seems to me that all you have to do is look at the Investors Business Daily Top 50, Top 100, etc. lists and/or Value Line to figure this out. You don’t have to be a weather man (or stock analyst) to know which way the wind blows. Thanks for you work. I check in several times a week.
    Jim Kerns