Investigating stockholder consumption growth is critical in asset pricing studies, as preference and risk averse of stockholders differ from that of average households. The disagreement among households about the macroeconomic uncertainty leads to their heterogeneous stock market participation...

Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...

Investors show different behaviour in falling markets and in rising markets. This paper demonstrates that the beta of individual stocks varies across the entire return distribution and that the variation depends on the frequency of the returns. While there is a symmetric u-shape increase for...

We propose a novel measure of firm-level investor sentiment based on the divergence of stock market beta from that of its industry peers. We show that this measure coincides with investor sentiment. In the cross-section, stocks with high investor sentiment significantly underperform those with...

This paper first extends Sias (2004) to examine whether UK fund managers are engaged in herding behaviours in the stock market, their reasons for herding, whether their herding behaviours are different during bullish and bearish periods and whether or not their herding behaviours are...

There exists abundant academic literature showing that momentum, i.e. a positive correlation between initial ranking of stocks by their past returns and subsequent returns, is pervasive across different markets and time periods.Although recent criticism speculates on the disappearing of momentum...

Using a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin-specifc sentiment from January 1, 2016 to June 30, 2021, covering the COVID-19 pandemic period. The results reveal that before the pandemic, sentiment positively drove prices,...

In this paper we attempt to study Art as a new asset class for alternative investment for Indians. The author first reviews different popular forms of art internationally and have an outline of select Indian Artist and their work. Since this is the first time an attempt is being made to...

The brokerage firms and financial institutions recommend for buying and selling shares throughout the year. The objective of the paper is to investigate whether there is any scope to earn higher return than the market on the basis of recommendation offered. This paper has considered one eighty...