Stock market movements are the results of changes in investor sentiment (INSEN) which can even be induced by non-economic events. We consider international cricket events to empirically investigate the notions. Implementing portfolio approach, we conduct the event study along with OLS regression...

I introduce a novel proxy of investor sentiment and differences of opinion among trendchasing investors to forecast skewness in daily aggregate stock market returns. The new proxy is an easy-to-construct, real time measure available at different frequencies for more than a century. Empirically I...

We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the...

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...

We use a heterogeneous agent model to explain market crashes resulting from an unanticipated deleveraging shock. In a market with short sale constraints, when the opinions of investors diverge substantially, the market price is set by the demand schedule of optimistic investors while pessimistic...

We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the...

By means of Event Study, Panel Data Regression and Feasible Generalized Least Squares, we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift. We find that there are not significant differences between the H-share financial statements and the A-share...