Résumé
We examine the performance and interaction between earnings momentum and Google search attention using a global sample of 368 property-holding companies from 2005:1 to 2019:9 in the FTSE EPRA/NAREIT Global Real Estate Index. The portfolio returns are analyzed on a risk-adjusted basis employing a Carhart four-factor model. First, we show that high earning REITs and REITs with high levels of unexpected Google search volume outperform in the subsequent month followed by a long-term reversal. Second, we find that unexpected Google search attention intensifies earnings momentum. Third, we find that the attention-based momentum Granger causes earnings momentum.