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The rich get richer and the poor get poorer : social media and the post-IPO behavior of investors in biotechnology firms : the relationship with twitter volume
Siev, Smadar - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-17
of social media-specifically, Twitter-on these returns. The results indicate positive yet insignificant cumulative …-IPO years. An examination of Twitter activity and share returns demonstrates a robust correlation between the two, suggesting … that investors' attention to firms may be reflected in their Twitter usage. …
Persistent link: https://www.econbiz.de/10012628769
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Does the Croatian stock market have seasonal affective disorder?
Škrinjarić, Tihana; Marasović, Branka; Šego, Boško - In: Journal of risk and financial management : JRFM 14 (2021) 2/89, pp. 1-16
This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights...
Persistent link: https://www.econbiz.de/10012484368
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Optimism in financial markets : stock market returns and investor sentiments
Limongi, Chiara Concetto; Ravazzolo, Francesco - In: Journal of risk and financial management : JRFM 12 (2019) 2/85, pp. 1-14
This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have an economic and statistical...
Persistent link: https://www.econbiz.de/10012022093
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...
Persistent link: https://www.econbiz.de/10012821063
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Gamesmanship and seasonality in U.S. stock returns
Ackert, Lucy F.; Athanassakos, George - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-11
We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting...
Persistent link: https://www.econbiz.de/10012534530
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Value and contrarian investment strategies : evidence from Indian stock market
Jagirdar, Sharneet Singh; Gupta, Pradeep Kumar - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19
Value and contrarian investment strategies are two basic approaches which are widely used by investors worldwide. Both value and contrarian investment strategies are assumed to pick the same stocks even though the approach to picking the stocks is different. Furthermore, both investment...
Persistent link: https://www.econbiz.de/10014305797
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Investor sentiment, portfolio returns, and macroeconomic variables
Banchit, Azilawati; Abidin, Sazali; Lim, Sophyafadeth; … - In: Journal of risk and financial management : JRFM 13 (2020) 11/259, pp. 1-14
Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the...
Persistent link: https://www.econbiz.de/10012389848
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Empirical analysis of MSCI China A-shares
Li, Yan; Li, Weiping - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25
In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns,...
Persistent link: https://www.econbiz.de/10012794876
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The effect of U.S. investor sentiment on cross-listed securities returns : a high-frequency approach
Gutierrez Pineda, Juan Pablo; Perez Liston, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-15
This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a...
Persistent link: https://www.econbiz.de/10012792429
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Stock investment and excess returns : a critical review in the light of the efficient market hypothesis
Qianwei, Ying; Yousaf, Tahir; Ul Ain, Qurat; Akhtar, Yasmeen - In: Journal of risk and financial management : JRFM 12 (2019) 2/97, pp. 1-22
The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the...
Persistent link: https://www.econbiz.de/10012022012