Country-specific attention and security returns

We study the effect of country-specific attention on security returns. Using the Google search volume index for country names, we construct three country-specific attention measures, namely U.S. local attention, worldwide attention, and asymmetric attention. We find that U.S. local attention and asymmetric attention positively predict both price returns and premiums of U.S. listed closed-end country funds in the next month. In contrast, the links between attention and future returns of U.S. single-country exchange-traded funds (ETFs) are weak. The evidence suggests that country-specific attention also affects U.S. local investors’ pricing of foreign securities and lends support to the theories on market segmentation and attention allocation