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Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

News Content, Investor Misreaction, and Stock Return Predictability

Hadzic, Muris - 2015

Using a large dataset of news releases, we study instances of investors' mistaken reaction, or misreaction, to news. We define misreaction as stock prices moving in the direction opposite to the news when it is released. We find that news tone predicts returns in the cross-section only upon the...

Persistent link: https://www.econbiz.de/10013016562

The Dynamic Relation Between Options Trading, Short Selling, and Aggregate Stock Returns

DeLisle, Jared - 2015

We examine the information contained in option trading and short selling using a dynamic VAR model. First, we address whether options and shorts are complements or substitutes. Contrary to existing event studies around option listing introductions, we show short selling and options trading are...

Persistent link: https://www.econbiz.de/10013036556

Investor Sentiment and Market Skewness Pricing

Yaakoubi, Soumaya - 2022

This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the … low sentiment periods separately. We find that market skewness risk carries a negative premium that cannot be explained … away by known risk factors when sentiment is low. In contrast, the results are not conducive to a risk explanation when …

Persistent link: https://www.econbiz.de/10013298295

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

Chu, Liya; He, Xuezhong; Li, Kai; Tu, Jun - 2022

This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can...

Persistent link: https://www.econbiz.de/10013405087

News-based Investor Disagreement and Cross Section of Stock Returns

Li, Sophia Zhengzi; Luan, Zeyao - 2023

We provide new evidence on investor disagreement based on a model where investors observe public information but agree to disagree on its interpretation. Specifically, we measure firm-level investor disagreement by the intraday volume-volatility elasticity around corporate news announcement. A...

Persistent link: https://www.econbiz.de/10014352473

Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market

Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

Persistent link: https://www.econbiz.de/10014308779

Idiosyncratic Risk, Investor Base and Returns

Chichernea, Doina - 2018

different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …

Persistent link: https://www.econbiz.de/10012937973

Sentiment and uncertainty

Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707

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