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Forecaster overconfidence and market survey performance

Deaves, Richard; Lei, Jin; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2015

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over...

Persistent link: https://www.econbiz.de/10011269118

An Experimental Study of Overconfidence in Accounting Numbers Predictions

Bar-Yosef, Sasson; Venezia, Itzhak - In: International Journal of Economic Sciences 2014 (2014) 1, pp. 78-89

This paper analyzes experimentally investors' overconfidence when making predictions of financial and accounting … overconfidence. We also compare the extent to which professional analysts differ from other investors in that respect. For this we … overconfidence. The professional analysts were slightly more overconfident than the students. Subjects showed more overconfidence in …

Persistent link: https://www.econbiz.de/10011195081

Does Human Psychology Drive Financial Markets? Evidence from International Markets

Dhaoui, Abderrazak; Khraief, Naceur - In: International Journal of Economics and Empirical … 2 (2014) 3, pp. 100-108

This paper provides the first evidence for empirical tests of the effect of rational expectations as well as behavioral biases, including among other animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading.We have used daily data for five international capital...

Persistent link: https://www.econbiz.de/10010902142

THE IMPACT OF INVESTOR PSYCHOLOGY ON STOCK MARKETS: EVIDENCE FROM FRANCE

DHAOUI, ABDERRAZAK; BOUROUIS, SAAD; BOYACIOGLU, MELEK ACAR - In: Journal of Academic Research in Economics 5 (2013) 1 (June), pp. 35-59

This paper provides the first evidence for empirical sensitivity of trading volume to human psychological factors. We review therefore extensive evidence about how human psychology affects investor behavior and trading volume. Using the data for individual stocks listed on the CAC40 Stock Market...

Persistent link: https://www.econbiz.de/10010692156

Improving prediction of stock market indices by analyzing the psychological states of twitter users

Porshnev, Alexander; Redkin, Ilya; Shevchenko, Alexey - National Research University Higher School of Economics - 2013

In our paper, we analyze the possibility of improving the prediction of stock market indicators by conducting a sentiment analysis of Twitter posts. We use a dictionary-based approach for sentiment analysis, which allows us to distinguish eight basic emotions in the tweets of users. We compare...

Persistent link: https://www.econbiz.de/10010723284

Rescate y costos del riesgo financiero

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...

Persistent link: https://www.econbiz.de/10011110979

Systemic Liquidity Crisis with Dynamic Haircuts

Sever, Can - Volkswirtschaftliche Fakultät, … - 2014

In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and Gorton and Metrick (2010) reveal the evidence from...

Persistent link: https://www.econbiz.de/10011111629

The nonlinear price dynamics of U.S. equity ETFs

Caginalp, Gunduz; DeSantis, Mark; Sayrak, Akin - In: Journal of Econometrics 183 (2014) 2, pp. 193-201

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in...

Persistent link: https://www.econbiz.de/10011077601

Financial crisis in The Arcades Project of Walter Benjamin

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014

The main objective of this paper is to present a reading of The Arcades Project by Walter Benjamin in the context of the financial crisis, in particular, reflect from a few fragments of Benjamin's work appear to lie around a Black Swan. The recovery of the fragments of The Arcades seems...

Persistent link: https://www.econbiz.de/10011114306

The Effectiveness Of Different Trading Strategies For Price-Takers

Egorova, Liudmila G. - National Research University Higher School of Economics - 2014

Simulation models of the stock exchange are developed to explore the dependence between a trader’s ability to predict future price movements and her wealth and probability of bankruptcy, to analyze the consequences of margin trading with different leverage rates and to compare different...

Persistent link: https://www.econbiz.de/10010762477