  This study explores the potential of internet search volume data,
specifically Google Trends, as an indicator for cross-sectional stock returns.
Unlike previous studies, our research specifically investigates the search
volume of the topic 'happiness' and its impact on stock returns in the aspect
of risk pricing rather than as sentiment measurement. Empirical results
indicate that this 'happiness' search exposure (HSE) can explain future
returns, particularly for big and value firms. This suggests that HSE might be
a reflection of a firm's ability to produce goods or services that meet
societal utility needs. Our findings have significant implications for
institutional investors seeking to leverage HSE-based strategies for
outperformance. Additionally, our research suggests that, when selected
judiciously, some search topics on Google Trends can be related to risks that
impact stock prices.
