Attention Allocation: Using Internet Search Query Data

The challenge of evaluating asymmetric information theories relies on assessing the pieces of information investors decide to process. This paper overcomes such challenge exploring a unique dataset containing the "search/click-through " behavior of internet search engine users. We analyze the relationship between attention allocation and international investment decisions by combining U.S. data on portfolio holdings of foreign securities with the attention allocated by America Online customers in search queries towards these countries. We …nd evidence that: (i) agents tend to search more information about countries where they hold more assets, and (ii) agents tend to invest more in countries where they process more information.