Investments in Emerging Markets: Alpha and the Benefits of Active Portfolio Management

Student: Khabibullin Ruslan

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

This paper will review existing research literature that addresses the “attention effect” in stock markets. Further, the study will be focused on the implementation of three investment strategies using the “attention effect” in each month of the study period. As a proxy factor for the research of the Russian market, we sorted data containing search queries in the Google and Yandex search engines from April 2018 to December 2019. The results of the study include the comparison of cumulative returns and other financial indicators with market indices, as well as test of the portfolio returns on statistical significance in order to draw conclusions about the presence of the “attention effect” in the Russian market and the opportunity of exploiting search queries in Google and Yandex to study this anomaly.

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