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Da-Engelberg-Gao (2011) JF — Google Search Volume Index spike predicts +5-10% return drift over 2-4 weeks

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Rolling Sharpe
90-day rolling window
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peak-to-trough
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Da-Engelberg-Gao (2011) JF — Google Search Volume Index spike predicts +5-10% return drift over 2-4 weeks

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